worst.envelope: Worst price at any moment in time
In logopt: Log optimal (universal) portfolios
Description
Usage
Arguments
Details
Value
Author(s)
Description
Calculate the time evolution of all assets based on the given prices
relative and take the minimum at every time index.
Usage
1
Arguments
x
Time series of relative prices
Details
Perform a cumprod per column to recover the time series of each asset
price, construct and return a time series with the worst price at any
time index. Contrast to worst.asset that shows
the time evolution
for the individual asset with the worst terminal price.
Value
Time series of the worst asset price any time index.
Author(s)
Marc Delvaux
logopt documentation built on May 2, 2019, 5:49 p.m.
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Description Usage Arguments Details Value Author(s)
Description
Calculate the time evolution of all assets based on the given prices relative and take the minimum at every time index.
Usage
1 |
Arguments
x |
Time series of relative prices |
Details
Perform a cumprod per column to recover the time series of each asset price, construct and return a time series with the worst price at any time index. Contrast to worst.asset that shows the time evolution for the individual asset with the worst terminal price.
Value
Time series of the worst asset price any time index.
Author(s)
Marc Delvaux
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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