LowerPartialMoments         package:fAssets         R Documentation

_E_s_t_i_m_a_t_i_o_n _o_f _L_o_w_e_r _P_a_r_t_i_a_l _M_o_m_e_n_t_s _o_f _A_s_s_e_t _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions  for the estimation of
     lower partial moments from a tinme series of assets. 

     The functions are:

       'assetsLPM'  Computes LPMs and co-LPMs of a set of assets.

_U_s_a_g_e:

     assetsLPM(x, tau, a, ...)

_A_r_g_u_m_e_n_t_s:

       a: the value of the moment.  

     tau: the target return. 

       x: any rectangular time series object which can be converted by
          the  function 'as.matrix()' into a matrix object, e.g. like
          an  object of class 'timeSeries', 'data.frame', or 'mts'.  

     ...: optional arguments to be passed. 

_V_a_l_u_e:

     'assetsLPM' 
      returns a list with two entries named 'mu' and Sigma{Sigma}. The
     first denotes the vector of lower partial moments, and the  second
     the co-LPM matrix. Note, that the output of this function  can be
     used as data input for the portfolio functions to compute  the LPM
     efficient frontier.

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics port.

_S_e_e _A_l_s_o:

     'assetsMeanCov'.

_E_x_a_m_p_l_e_s:

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