transferCoef

Computes the transfer coefficient (TF), which measures
the reduction in mean excess return of an MV portfolio with weights
constraint relative to the mean excess return of an unconstrained
MV portfolio. This description also holds with portfolios mean
returns replaced by Sharpe ratios.

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

transferCoef function

<dl><dt>returns</dt>
<dd>An xts multivariate returns object that contains
the returns of the risk-free T-Bill in the last column</dd>
<dt>wtVec</dt>
<dd>The weight vector of a constrained MV portfolio</dd></dl>

Arguments

Transfer Coefficent — transferCoef

<dl>

<dt>returns</dt>
<dd>An xts multivariate returns object that contains
the returns of the risk-free T-Bill in the last column</dd>


<dt>wtVec</dt>
<dd>The weight vector of a constrained MV portfolio</dd>

</dl>

transferCoef: Transfer Coefficent

Description

Usage

Value

Arguments

Examples