lsp: Create a Leverage Space Portfolio Object

Description Usage Arguments Value Author(s)

Description

Leverage Space Portfolio object constructor

Usage

1
  lsp(events, probs=NULL, f=NULL, maxLoss=NULL, z=NULL)

Arguments

events

A matrix-like object containing event series (scenario spectrums).

probs

A vector of probabilities associated with each outcome for all scenario spectrums. If NULL, each outcome is assigned the same probability.

f

A vector of f values for each scenario spectrum. If NULL, each scenario spectrum is assigned an f=0.1.

maxLoss

A vector of maximum losses for each scenario spectrum. If NULL, each scenario spectrum is assigned its minimum outcome value.

z

A vector of (2) martingale exponents and (1) target return value. The first (second) exponent is used when portfolio equity is below (above) the target value.

Value

An S3 object of class lsp.

Author(s)

Joshua Ulrich



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