pt.dalpha {YRmisc} | R Documentation |
Dual-alpha method is to divide market alpha into downside beta and upside alpha. The principle behind is that upside and downside alphas are not the same.
pt.dalpha(ar,mr,rf)
ar |
:a vector of a risk asset return |
mr |
:a vector of market return |
rf |
:risk free rate |
artn <- runif(24,0,1) # generate random number to simulate returns
mrtn <- runif(24,-1,1)
pt.dalpha(artn,mrtn,0.024)