ConnectednessApproach (version 1.0.4)

EquallyWeightedPortfolio: Equally weighted portfolio

Description

This function calculates the equality weighted portfolio

Usage

EquallyWeightedPortfolio(
  x,
  method = c("cumsum", "cumprod"),
  statistics = c("Fisher", "Bartlett", "Fligner-Killeen", "Levene", "Brown-Forsythe"),
  metric = "StdDev",
  digit = 2
)

Value

Get portfolio weights

Arguments

x

zoo return matrix (in percentage)

method

Cumulative sum or cumulative product

statistics

Hedging effectiveness statistic

metric

Risk measure of Sharpe Ratio (StdDev, VaR, or CVaR)

digit

Number of decimal places

Author

David Gabauer

References

Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34(1), 157-170.

Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2020). Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. Energy Economics, 91, 104762.

Examples

# \donttest{
data("g2020")
mcp = EquallyWeightedPortfolio(g2020/100, statistics="Fisher")
mcp$TABLE
# }