centroid.sectors: Multiple Sectors Centroid

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

Description

Compute the centroid for expressing views on the relative ranking of assets within sectors.

Usage

centroid.sectors(sectors, simulations = 1000)

Arguments

sectors	a list where each list element contains the order of each asset in the given sector
simulations	number of simulations

Value

the centroid vector

Author(s)

Ross Bennett

Examples

# Express a view on the assets in two sectors
# Sector 1 View: R_2 < R_1 < R_3
# Sector 2 View: R_5 < R_4
x <- list()
x[[1]] <- c(2, 1, 3)
x[[2]] <- c(5, 4)
centroid.sectors(x)

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