| momentum {portfolio.optimization} | R Documentation |
Set momentum parameters for a portfolio.model
Description
momentum sets a new alpha for VaR and Expected Shortfall
Usage
momentum(model, n_momentum, n_momentum.short = NULL)
Arguments
model |
the portfolio.model to be changed |
n_momentum |
amount of momentum assets long |
n_momentum.short |
amount of momentum assets short |
Value
the adapted portfolio.model
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
[Package portfolio.optimization version 1.0-0 Index]