worst.asset: Time evolution of worst asset
In logopt: Log optimal (universal) portfolios

Description Usage Arguments Details Value Author(s)

Time evolution of the asset with the worst terminal price.

1	worst.asset(x)

`x`	Time series of relative prices.

Perform a cumprod per column to recover the time series of each asset price, find the asset with worst terminal price and returns the corresponding price time series. This corresponds to the price time series for the worst individual asset. Contrast with worst.envelope that construct a time series of the worst price at any time index, irrespective of the asset.

Time series of the price for the asset with worst terminal price.

Marc Delvaux

logopt documentation built on May 2, 2019, 5:49 p.m.