CLA (version 0.90-0)

MS: Means (Mu) and Standard Deviations (Sigma) of the “Turning Points” from CLA

Description

Compute the vectors of means (\(\mu_i\)) and standard deviations (\(sigma_i\)), for all the turning points of a CLA result.

Usage

MS(weights_set, mu, covar)

Arguments

weights_set

numeric matrix (\(n \times m\)) of optimal asset weights \(W = (w_1, w_2, \ldots, w_m)\), as resulting from CLA().

mu

expected (log) returns (identical to argument of CLA()).

covar

covariance matrix of (log) returns (identical to argument of CLA()).

Value

a list with components

Sig

numeric vector of length \(m\) of standard deviations, \(\sigma(W)\).

Mu

numeric vector of length \(m\) of means \(\mu(W)\).

See Also

CLA.

Examples

# NOT RUN {
## The function is quite simply
MS
## and really an auxiliary function for CLA().

## TODO:  add small (~12 assets) example
# }