assets-lpm | R Documentation |
Computes lower partial moments from a time series of assets.
assetsLPM(x, tau, a, ...)
assetsSLPM(x, tau, a, ...)
x |
any rectangular time series object which can be converted by the
function |
tau |
the target return. |
a |
the value of the moment. |
... |
optional arguments to be passed. |
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.
Diethelm Wuertz for the Rmetrics port.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## LPP -
# Percentual Returns:
LPP <- 100 * as.timeSeries(data(LPP2005REC))[, 1:6]
colnames(LPP)
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