ac.ranking: Asset Ranking

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

Compute the first moment from a single complete sort

Usage

ac.ranking(R, order, ...)

Arguments

R	xts object of asset returns
order	a vector of indexes of the relative ranking of expected asset returns in ascending order. For example, order = c(2, 3, 1, 4) means that the expected returns of R[,2] < R[,3], < R[,1] < R[,4].
...	any other passthrough parameters

Details

This function computes the estimated centroid vector from a single complete sort using the analytical approximation as described in R. Almgren and N. Chriss, "Portfolios from Sorts". The centroid is estimated and then scaled such that it is on a scale similar to the asset returns. By default, the centroid vector is scaled according to the median of the asset mean returns.

Value

The estimated first moments based on ranking views

References

R. Almgren and N. Chriss, "Portfolios from Sorts" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=720041

See Also

centroid.complete.mc centroid.sectors centroid.sign centroid.buckets

Examples

data(edhec)
R <- edhec[,1:4]
ac.ranking(R, c(2, 3, 1, 4))

Example output

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: xts
Loading required package: foreach
Loading required package: PerformanceAnalytics

Attaching package: 'PerformanceAnalytics'

The following object is masked from 'package:graphics':

    legend

[1]  0.01432457 -0.05000000 -0.01432457  0.05000000

PortfolioAnalytics documentation built on May 2, 2019, 6:12 p.m.