Description Usage Arguments Value Author(s) References Examples

Computes lower partial moments from a time series of assets.

1 2 | ```
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.

1 2 3 4 |

```
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics
Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
Rmetrics Package fAssets
Analysing and Modeling Financial Assets
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
[1] "SBI" "SPI" "SII" "LMI" "MPI" "ALT"
```

fAssets documentation built on Nov. 17, 2017, 2:12 p.m.

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