PortfolioEffectHFT (version 1.6)

portfolio_upsideVariance: Portfolio Upside Variance

Description

Computes upside variance of a portfolio.

Usage

portfolio_upsideVariance(portfolio,thresholdReturn)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

thresholdReturn

Return value to be used as a cut-off point

Value

Numeric vector of portfolio upside variance values.

See Also

portfolio_downsideVariance

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300) 
# portfolio_addPosition(portfolio,'GOOG',150)
# util_plot2d(portfolio_upsideVariance(portfolio,0.05),title="Portfolio Upside Variance")
# ## End(Not run)