scrp: Successive Constant Rebalanced Portfolio

Description Usage Arguments Details Value Author(s) References

Description

Take the weights for the best CRP in the past as the weights for the next period.

Usage

1
scrp(x, from = 1, by = 1, fast.only = TRUE)

Arguments

x

Time series of relative prices

from

Start time

by

Step in time to recalculate best CRP

fast.only

Only use the fast but slightly inaccurate version of CRP optimization.

Details

At each time index ti = from + i * by, calculate the weights for the best CRP up to but not including ti, and uses that as portfolio until the next optimization point. Return the time series of the corresponding portfolio wealth.

Value

Return the time series of portfolio wealths.

Author(s)

Marc Delvaux

References

Gaivoronski, A and Stella, F (2000): Nonstationary Optimization Approach for Finding Universal Portfolios. Published in: Annals of Operations Research , Vol. 100, (2000): pp. 165-188.



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