Buckets Centroid
Compute the centroid for buckets of assets
centroid.buckets(buckets, simulations = 1000)
buckets |
a list where each element contains the index of the assets in the respective bucket. The assets within each bucket have no order. The bucket elements are in ascending order such that R_bucket_1 < ... < R_bucket_n |
simulations |
number of simulations |
A common use of buckets is to divide the assets into quartiles or deciles, but is generalized here for an arbitrary number of buckets and arbitrary number of assets in each bucket.
the centroid vector
Ross Bennett
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