Positive and Negative View Centroid
Compute the centroid for expressing a view on assets with positive or negative expected returns
centroid.sign(positive, negative, simulations = 1000)
positive |
a vector of the index of assets with positive expected return in ascending order |
negative |
a vector of the index of assets with negative expected return in ascending order. |
simulations |
number of simulations |
the centroid vector
Ross Bennett
# Express a view that # R_1 < R_2 < 0 < R_3 < R_4 centroid.sign(c(1, 2), c(4, 3))
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