pt.dbeta {YRmisc}

Dual-beta

Description

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

Usage

pt.dbeta(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.dbeta(artn,mrtn,0.024)