meucci.ranking

a vector of the prior probability values

a vector of indexes of the relative ranking of expected asset 
returns in ascending order. For example, <code>order = c(2, 3, 1, 4)</code> means 
that the expected returns of <code>R[,2] &lt; R[,3], &lt; R[,1] &lt; R[,4]</code>.

order

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.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

meucci.ranking function

<dl><dt>R</dt>
<dd>xts object of asset returns</dd>
<dt>p</dt>
<dd>a vector of the prior probability values</dd>
<dt>order</dt>
<dd>a vector of indexes of the relative ranking of expected asset 
returns in ascending order. For example, <code>order = c(2, 3, 1, 4)</code> means 
that the expected returns of <code>R[,2] &lt; R[,3], &lt; R[,1] &lt; R[,4]</code>.</dd></dl>

Arguments

Asset Ranking — meucci.ranking

<dl>

<dt>R</dt>
<dd>xts object of asset returns</dd>


<dt>p</dt>
<dd>a vector of the prior probability values</dd>


<dt>order</dt>
<dd>a vector of indexes of the relative ranking of expected asset 
returns in ascending order. For example, <code>order = c(2, 3, 1, 4)</code> means 
that the expected returns of <code>R[,2] &lt; R[,3], &lt; R[,1] &lt; R[,4]</code>.</dd>

</dl>

meucci.ranking: Asset Ranking

Description

Usage

Value

Arguments

References

See Also

Examples