Selecting Assets from Multivariate Asset Sets
Selet assets from Multivariate Asset Sets based on clustering.
any rectangular time series object which can be converted by the
a character string, which clustering method should be used?
a character string with two entries controlling the parameters used
in the underlying cluster algorithms. If set to NULL, then
default settings are taken: For hierarchical clustering this is
optional arguments to be passed. Note, for the k-means algorithm the number of centers has to be specified!
assetsSelect calls the functions
kmeans from R's
performs a hierarchical cluster analysis on the set of dissimilarities
kmeans performs a k-means
clustering on the data matrix itself.
Note, the hierarchical clustering method has in addition a plot method.
use="hclust" was selected then the function returns a
S3 object of class "hclust", otherwise if
selected then the function returns an object of class "kmeans".
For details we refer to the help pages of
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.
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