worst.asset: Time evolution of worst asset

Description Usage Arguments Details Value Author(s)

Description

Time evolution of the asset with the worst terminal price.

Usage

1

Arguments

x

Time series of relative prices.

Details

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.

Value

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

Author(s)

Marc Delvaux


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