ptf_construction {INFOSET}R Documentation

Function to compute portfolio values

Description

Function to compute portfolio values

Usage

ptf_construction(
  data,
  FT,
  ov,
  LR_cp_measure,
  ptf = c("M", "C_M", "EDC", "C_EDC")
)

Arguments

data

A (T x N) matrix or data.frame containing the N time series over period T

FT

Window size.

ov

Overlap.

LR_cp_measure

object of class LR_cp (only for "C_M" and "C_EDC" asset allocation strategies)

ptf

Type of portfolio to be computed. Asset allocation strategies available are: "M" is the Markowitz portfolio, "C_M" is the combined Markowitz portfolio, "EDC" uses the extreme downside correlation and "C_EDC" is the combined extreme downside correlation portfolio

Value

An object of class "ptf_construction" is a list containing the following components for all the time windows considered:

ptf oos value

a vector of out of sample returns.

weigths

portfolio weights.


[Package INFOSET version 4.1 Index]