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]