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centroid.complete.mc

Complete Cases Centroid

Description

Numerical method to estimate complete cases centroid

Usage

centroid.complete.mc(order, simulations = 1000)

Arguments

order

a vector of indexes of the relative ranking of expected asset returns in ascending order. For example, order = c(2, 3, 1, 4) expresses a view on the expected returns such that R_2 < R_3 < R_1 < R_4
simulations

number of simulations

Value

the centroid vector

Author(s)

Ross Bennett

Examples

# Express a view on the assets such that
# R_2 < R_1 < R_3 < R_4
centroid.complete.mc(c(2, 1, 3, 4))
PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Initial release
2018-05-17

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