var.relative.benchmark {BurStFin} | R Documentation |
Transform a Variance Matrix to be Relative to a Benchmark
Description
Returns a matrix (or 3-dimensional array) with dimensions one smaller than the input. The returned variance is relative to the benchmark.
Usage
var.relative.benchmark(variance, benchmark)
Arguments
variance |
required. A variance matrix or a three-dimensional array where each slice of the third dimension is a variance matrix. |
benchmark |
required.
A character string naming which asset in |
Value
a matrix or array similar to the input variance
, but with one
less asset and containing variances that are relative to that asset.
There is a call
attribute which gives the command that created
the object (and hence the benchmark to which the object is relative).
Revision
This help was last revised 2012 January 20.
See Also
var.add.benchmark
, var.shrink.eqcor
,
factor.model.stat
, threeDarr
.
Examples
var.orig <- array(c(400, 32, 24, 32, 64, 9.6, 24, 9.6, 144), c(3,3),
list(c("equities", "bonds", "commodities"),
c("equities", "bonds", "commodities")))
var.aa <- var.add.benchmark(var.orig, c(equities=.6, bonds=.4), "e60b40")
var.rel <- var.relative.benchmark(var.aa, "e60b40")
[Package BurStFin version 1.3 Index]