centroid.buckets {PortfolioAnalytics}

Buckets Centroid

Description

Compute the centroid for buckets of assets

Usage

centroid.buckets(buckets, simulations = 1000)

Arguments

buckets

a list where each element contains the index of the assets in the respective bucket. The assets within each bucket have no order. The bucket elements are in ascending order such that R_bucket_1 < ... < R_bucket_n

simulations

number of simulations

Details

A common use of buckets is to divide the assets into quartiles or deciles, but is generalized here for an arbitrary number of buckets and arbitrary number of assets in each bucket.

Value

the centroid vector

Author(s)

Ross Bennett