AssetsLPM: Estimation of Lower Partial Moments of Asset Sets
Description
A collection and description of functions
for the estimation of lower partial moments
from a tinme series of assets.
The functions are:
ll{
assetsLPM Computes LPMs and co-LPMs of a set of assets. }
Usage
assetsLPM(x, tau, a, ...)
Arguments
a
the value of the moment.
tau
the target return.
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.
...
optional arguments to be passed.
Value
assetsLPM
returns a list with two entries named mu and Sigma{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.