pt.dalpha {YRmisc}

Dual-alpha

Description

Dual-alpha method is to divide market alpha into downside beta and upside alpha. The principle behind is that upside and downside alphas are not the same.

Usage

pt.dalpha(ar,mr,rf)

Arguments

ar

:a vector of a risk asset return

mr

:a vector of market return

rf

:risk free rate

Examples

artn <- runif(24,0,1) # generate random number to simulate returns
mrtn <- runif(24,-1,1)
pt.dalpha(artn,mrtn,0.024)