Constant Rebalanced portfolio

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Description

Calculate the time evolution of a Constant Rebalanced Portfolio wealth given the prices relative and weights.

Usage

1
crp(x, b = NULL)

Arguments

x

Time series of relative prices

b

The portfolio weights with three variants: NULL, vector and time series of vectors. NULL will be transformed as the uniform vector.

Details

Calculate the relative wealth increase of the portfolio as the weigthed sum of the price relatives of the individual set, then calculate the time series of the portfolio wealth as the cumprod.

Value

Time series of the wealth for the portfolio.

Author(s)

Marc Delvaux

Examples

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