turnOver

Calculates T-1 turn-over values for a times of portfolio
weight vectors from time t = 1 to time t = T, where the turnover from time
t-1 to time t is the sum of the absolute differences between the portfolio
weights at time t-1 and time t.

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

turnOver function

<dl><dt>weights</dt>
<dd>A multivariate xts object of portfolio weights</dd></dl>

Arguments

Portfolio Turnover — turnOver

<dl>

<dt>weights</dt>
<dd>A multivariate xts object of portfolio weights</dd>

</dl>

turnOver: Portfolio Turnover

Description

Usage

Value

Arguments

Examples