comp_portfo2

Given two vectors of portfolio returns this function calls the internal function wtdpapb
to report the simple means of four sophisticated measures of stochastic dominance.
as explained in Vinod (2008).

Function gmcmtx0() computes a more reliable (general)
correlation matrix. Since causal paths from data are important for all sciences, the
package provides many sophisticated functions. causeSummBlk() and causeSum2Blk()
give easy-to-interpret causal paths. Let Z denote control variables and compare
two flipped kernel regressions: X=f(Y, Z)+e1 and Y=g(X, Z)+e2. Our criterion Cr1
says that if |e1*Y|>|e2*X| then variation in X is more "exogenous or independent"
than in Y, and the causal path is X to Y. Criterion Cr2 requires |e2|<|e1|. These
inequalities between many absolute values are quantified by four orders of
stochastic dominance. Our third criterion Cr3, for the causal path X to Y,
requires new generalized partial correlations to satisfy |r*(x|y,z)|< |r*(y|x,z)|.
The function parcorVec() reports generalized partials between the first
variable and all others. The package provides several R functions including
get0outliers() for outlier detection, bigfp() for numerical integration by the
trapezoidal rule, stochdom2() for stochastic dominance, pillar3D() for 3D charts,
canonRho() for generalized canonical correlations, depMeas() measures nonlinear
dependence, and causeSummary(mtx) reports summary of causal paths among matrix
columns. Portfolio selection: decileVote(), momentVote(), dif4mtx(), exactSdMtx()
can rank several stocks. Functions whose names begin with 'boot' provide bootstrap
statistical inference, including a new bootGcRsq() test for "Granger-causality"
allowing nonlinear relations. A new tool for evaluation of out-of-sample
portfolio performance is outOFsamp(). Panel data implementation is now included.
See eight vignettes of the package for theory, examples, and
usage tips. See Vinod (2019) \doi{10.1080/03610918.2015.1122048}.

Hrishikesh Vinod

generalCorr

Generalized Correlations, Causal Paths and Portfolio Selection

comp_portfo2 function

<dl><dt>xa</dt>
<dd>Data on returns for portfolio A in the form of a T by 1 vector</dd>
<dt>xb</dt>
<dd>Data on returns for portfolio B in the form of a T by 1 vector</dd></dl>

Arguments

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

Author

Compares two vectors (portfolios) using stochastic dominance of orders 1 to 4. — comp_portfo2

<dl>

<dt>xa</dt>
<dd>Data on returns for portfolio A in the form of a T by 1 vector</dd>


<dt>xb</dt>
<dd>Data on returns for portfolio B in the form of a T by 1 vector</dd>

</dl>

comp_portfo2: Compares two vectors (portfolios) using stochastic dominance of orders 1 to 4.

Description

Usage

Value

Arguments

Author

References

See Also

Examples