PortfolioAnalytics (version 2.0.0)

ac.ranking: Asset Ranking

Description

Compute the first moment from a single complete sort

Usage

ac.ranking(R, order, ...)

Value

The estimated first moments based on ranking views

Arguments

R

xts object of asset returns

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].

...

any other passthrough parameters

Details

This function computes the estimated centroid vector from a single complete sort using the analytical approximation as described in R. Almgren and N. Chriss, "Portfolios from Sorts". The centroid is estimated and then scaled such that it is on a scale similar to the asset returns. By default, the centroid vector is scaled according to the median of the asset mean returns.

References

R. Almgren and N. Chriss, "Portfolios from Sorts" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=720041

See Also

centroid.complete.mc centroid.sectors centroid.sign centroid.buckets

Examples

data(edhec)
R <- edhec[,1:4]
ac.ranking(R, c(2, 3, 1, 4))