Computation of Lower Partial Moments of Asset Sets

Description

Computes lower partial moments from a time series of assets.

Usage

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assetsLPM(x, tau, a, ...)
assetsSLPM(x, tau, a, ...)

Arguments

x

any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

tau

the target return.

a

the value of the moment.

...

optional arguments to be passed.

Value

returns a list with two entries named mu and Sigma. The first denotes the vector of lower partial moments, and the second the co-LPM matrix. Note, that the output of this function can be used as data input for the portfolio functions to compute the LPM efficient frontier.

Author(s)

Diethelm Wuertz for the Rmetrics port.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

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## LPP -
   # Percentual Returns:
   LPP <- 100 * as.timeSeries(data(LPP2005REC))[, 1:6]
   colnames(LPP)