PortfolioAnalytics: meucci.ranking – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

meucci.ranking

Asset Ranking

Description

Express views on the relative expected asset returns as in A. Meucci, "Fully Flexible Views: Theory and Practice" and compute the first and second moments.

Usage

meucci.ranking(R, p, order)

Arguments

`R`	xts object of asset returns
`p`	a vector of the prior probability values
`order`	a vector of indexes of the relative ranking of expected asset returns in ascending order. For example, `order = c(2, 3, 1, 4)` means that the expected returns of `R[,2] < R[,3], < R[,1] < R[,4]`.

Value

The estimated moments based on ranking views

Note

This function is based on the ViewRanking function written by Ram Ahluwalia in the Meucci package.

References

A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "RankingInformation/ViewRanking.m"

Examples

data(edhec)
R <- edhec[,1:4]
p <- rep(1 / nrow(R), nrow(R))
meucci.ranking(R, p, c(2, 3, 1, 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