Asset Ranking
Compute the first moment from a single complete sort
ac.ranking(R, order, ...)
R |
xts object of asset returns |
order |
a vector of indexes of the relative ranking of expected asset
returns in ascending order. For example, |
... |
any other passthrough parameters |
This function computes the estimated centroid vector from a single complete sort using the analytical approximation as described in R. Almgren and N. Chriss, "Portfolios from Sorts". The centroid is estimated and then scaled such that it is on a scale similar to the asset returns. By default, the centroid vector is scaled according to the median of the asset mean returns.
The estimated first moments based on ranking views
R. Almgren and N. Chriss, "Portfolios from Sorts" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=720041
data(edhec) R <- edhec[,1:4] ac.ranking(R, c(2, 3, 1, 4))
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