Holding Period Return

Description

Find holding period return for a set of events

Usage

1
  HPR(lsp, portfolio=FALSE)

Arguments

lsp

A lsp object.

portfolio

If TRUE, only the total portfolio HPR is returned.

Value

A vector or matrix containing the holding period returns

Author(s)

Joshua Ulrich

References

Vince, Ralph (2007) The Handbook of Portfolio Mathematics. New York: John Wiley & Sons, Inc.
Vince, Ralph (2009) The Leverage Space Trading Model. New York: John Wiley & Sons, Inc.

See Also

GHPR