Description Usage Arguments Value Author(s)
Leverage Space Portfolio object constructor
1 |
events |
A matrix-like object containing event series (scenario spectrums). |
probs |
A vector of probabilities associated with each
outcome for all scenario spectrums. If |
f |
A vector of f values for each scenario spectrum. If
|
maxLoss |
A vector of maximum losses for each scenario
spectrum. If |
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. |
An S3 object of class lsp
.
Joshua Ulrich
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