PortfolioAnalytics (version 2.1.0)

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)

Value

The estimated moments based on ranking views

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].

References

A. Meucci, "Fully Flexible Views: Theory and Practice" https://www.arpm.co/articles/fully-flexible-views-theory-and-practice/ See Meucci script for "RankingInformation/ViewRanking.m"

See Also

meucci.moments

Examples

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