fAssets (version 4023.85)

assets-lpm: Computation of Lower Partial Moments of Asset Sets

Description

Computes lower partial moments from a time series of assets.

Usage

assetsLPM(x, tau, a, ...)
assetsSLPM(x, tau, a, ...)

Value

returns a list with two entries named mu and Sigma. The first denotes the vector of lower partial moments, and the second the co-LPM matrix. Note, that the output of this function can be used as data input for the portfolio functions to compute the LPM efficient frontier.

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.

tau

the target return.

a

the value of the moment.

...

optional arguments to be passed.

Author

Diethelm Wuertz for the Rmetrics port.

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 -
   # Percentual Returns:
   LPP <- 100 * as.timeSeries(data(LPP2005REC))[, 1:6]
   colnames(LPP)