fAssets (version 3003.81-1)

assets-arrange: Rearranging Assets Columnwise

Description

Allows to rearrange a set of assets columnwise.

Usage

assetsArrange(x, method = c("pca", "hclust", "abc"), ...)
pcaArrange(x, robust = FALSE, ...)
hclustArrange(x, method = c("euclidean", "complete"), ...)
abcArrange(x, ...)
orderArrange(x, ...)
sampleArrange(x, ...)
statsArrange(x, FUN = colMeans, ...)

Arguments

x

any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

method

a character string, which method should be applied to reaarnage the assests? Either "pca" which arranges the columns by an eigenvalue decomposition, "hclust" which arrangtes the columns by hierar

robust

a logical flag. Should robust statistics applied?

FUN

function anme of the statistical function to be applied.

...

optional arguments to be passed.

Value

• a character vector with the rearranged assets names.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

## LPP -
   # Load Swiss Pension Fund Data:
   LPP <- LPP2005REC[, 1:3]
   head(LPP)
    
## assetsArrange -
   # Arrange Assets Columns:
   assetsArrange(x=LPP, "pca")
   assetsArrange(x=LPP, "hclust")
   assetsArrange(x=LPP, "abc")
   
## Alternative Usage -
   pcaArrange(x=LPP, robust=FALSE)
   pcaArrange(x=LPP, robust=TRUE)
   hclustArrange(x=LPP, method = c("euclidean", "complete"))
   abcArrange(x=LPP)
   orderArrange(x=LPP)
   sampleArrange(x=LPP)
   statsArrange(x=LPP, FUN=colMeans)