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centroid.sectors

Multiple Sectors Centroid

Description

Compute the centroid for expressing views on the relative ranking of assets within sectors.

Usage

centroid.sectors(sectors, simulations = 1000)

Arguments

sectors

a list where each list element contains the order of each asset in the given sector
simulations

number of simulations

Value

the centroid vector

Author(s)

Ross Bennett

Examples

# Express a view on the assets in two sectors
# Sector 1 View: R_2 < R_1 < R_3
# Sector 2 View: R_5 < R_4
x <- list()
x[[1]] <- c(2, 1, 3)
x[[2]] <- c(5, 4)
centroid.sectors(x)
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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