rank2return

This function computes the return earned knowing the rank of a stock in
the input mtx of stock returns. For example, mtx has p=28 Dow Jones stocks
over n=169 monthly returns. Portfolio weights are assumed to be linearly
declining. If maxChosen=4, the weights are 4/10, 3/10, 2/10 and 1/10, which add
up to unity. These portfolio weights are assigned in reverse order
in the sense that first chosen stock (choice rank =1) gets portfolio weight=4/10.
The function computes return from the stocks using the `myrank' argument.

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

rank2return function

<dl><dt>mtx</dt>
<dd>a matrix with n rows (number of returns) p columns (number of stocks)</dd>
<dt>myrank</dt>
<dd>vector of p integers listing the rank of each stock, 1=best</dd>
<dt>maxChosen</dt>
<dd>number of stocks in the portfolio (with nonzero weights)
default=0. When maxChosen=0, we let pctChoose determine the maxChosen</dd>
<dt>pctChoose</dt>
<dd>percent of p stocks chosen inside the portfolio, default=20</dd>
<dt>verbo</dt>
<dd>logical if TRUE, print, default=TRUE</dd></dl>

Arguments

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

Author

Compute the portfolio return knowing the rank of a stock in the input `mtx'. — rank2return

<dl>

<dt>mtx</dt>
<dd>a matrix with n rows (number of returns) p columns (number of stocks)</dd>


<dt>myrank</dt>
<dd>vector of p integers listing the rank of each stock, 1=best</dd>


<dt>maxChosen</dt>
<dd>number of stocks in the portfolio (with nonzero weights)
default=0. When maxChosen=0, we let pctChoose determine the maxChosen</dd>


<dt>pctChoose</dt>
<dd>percent of p stocks chosen inside the portfolio, default=20</dd>


<dt>verbo</dt>
<dd>logical if TRUE, print, default=TRUE</dd>

</dl>

rank2return: Compute the portfolio return knowing the rank of a stock in the input `mtx'.

Description

Usage

Value

Arguments

Author

See Also