| rank2sell {generalCorr} | R Documentation |
Compute the portfolio return knowing the rank of a stock in the
input ‘mtx’.
This function computes the return earned knowing the rank of a stock
computed elsewhere and named myrank associate with the data columns in
the input mtx of stock returns. For example, mtx has p=28 Dow Jones stocks
over n=169 monthly returns. Portfolio weights are assumed to be linearly
declining. If maxChosen=4, the weights are 1/10, 2/10, 3/10 and 4/10, which add
up to unity. These portfolio weights are assigned in their order
in the sense that first chosen stock (choice rank =p) gets portfolio weight=4/10.
The function computes return from the stocks using the ‘myrank’ argument.
This helps in assessing out-of-sample performance of (short)
the strategy of selling lowest ranking stocks. It is mostly for internal use
by outOFsell(). This is a sell version of rank2return().
Description
Compute the portfolio return knowing the rank of a stock in the input ‘mtx’.
This function computes the return earned knowing the rank of a stock
computed elsewhere and named myrank associate with the data columns in
the input mtx of stock returns. For example, mtx has p=28 Dow Jones stocks
over n=169 monthly returns. Portfolio weights are assumed to be linearly
declining. If maxChosen=4, the weights are 1/10, 2/10, 3/10 and 4/10, which add
up to unity. These portfolio weights are assigned in their order
in the sense that first chosen stock (choice rank =p) gets portfolio weight=4/10.
The function computes return from the stocks using the ‘myrank’ argument.
This helps in assessing out-of-sample performance of (short)
the strategy of selling lowest ranking stocks. It is mostly for internal use
by outOFsell(). This is a sell version of rank2return().
Usage
rank2sell(mtx, myrank, maxChosen = 0, pctChoose = 20, verbo = FALSE)
Arguments
mtx |
a matrix with n rows (number of returns) p columns (number of stocks) |
myrank |
vector of p integers listing the rank of each stock, 1=best |
maxChosen |
number of stocks in the portfolio (with nonzero weights) default=0. When maxChosen=0, we let pctChoose determine the maxChosen |
pctChoose |
percent of p stocks chosen inside the portfolio, default=20 |
verbo |
logical if TRUE, print, default=TRUE |
Value
average return from the linearly declining portfolio implied by the myrank vector.
Author(s)
Prof. H. D. Vinod, Economics Dept., Fordham University, NY