crp: Constant Rebalanced portfolio
In logopt: Log optimal (universal) portfolios
Description
Usage
Arguments
Details
Value
Author(s)
Examples
Description
Calculate the time evolution of a Constant Rebalanced Portfolio wealth
given the prices relative and weights.
Usage
1
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
1
2
3
4
require(logopt)
data(nyse.cover.1962.1984)
w <- crp(nyse.cover.1962.1984)
plot(w, type="l", color="blue")
logopt documentation built on May 2, 2019, 5:49 p.m.
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Description Usage Arguments Details Value Author(s) Examples
Description
Calculate the time evolution of a Constant Rebalanced Portfolio wealth given the prices relative and weights.
Usage
1 |
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
1 2 3 4 | require(logopt)
data(nyse.cover.1962.1984)
w <- crp(nyse.cover.1962.1984)
plot(w, type="l", color="blue")
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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