levgLongShort

This function computes a time series of portfolio leverages,
defined as the sum of the absolute portfolio weights divided by the sum of
the long position weights

A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course.  The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects.  The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.

Doug Martin

PCRA

Companion to Portfolio Construction and Risk Analysis

Alexios Galanos

Kirk Li

Jon Spinney

Thomas Philips

levgLongShort function

<dl><dt>wts</dt>
<dd>Multivariate xts portfolio weights object</dd></dl>

Arguments

Author

Long Short Portfolio Leverage — levgLongShort

<dl>

<dt>wts</dt>
<dd>Multivariate xts portfolio weights object</dd>

</dl>

levgLongShort: Long Short Portfolio Leverage

Description

Usage

Value

Arguments

Author

Examples