meucci.ranking {PortfolioAnalytics} | R Documentation |
Asset Ranking
Description
Express views on the relative expected asset returns as in A. Meucci, "Fully Flexible Views: Theory and Practice" and compute the first and second moments.
Usage
meucci.ranking(R, p, order)
Arguments
R |
xts object of asset returns |
p |
a vector of the prior probability values |
order |
a vector of indexes of the relative ranking of expected asset
returns in ascending order. For example, |
Value
The estimated moments based on ranking views
Note
This function is based on the ViewRanking
function written by
Ram Ahluwalia in the Meucci package.
References
A. Meucci, "Fully Flexible Views: Theory and Practice" https://www.arpm.co/articles/fully-flexible-views-theory-and-practice/ See Meucci script for "RankingInformation/ViewRanking.m"
See Also
Examples
data(edhec)
R <- edhec[,1:4]
p <- rep(1 / nrow(R), nrow(R))
meucci.ranking(R, p, c(2, 3, 1, 4))
[Package PortfolioAnalytics version 2.0.0 Index]