assetsLPM              package:fAssets              R Documentation

_C_o_m_p_u_t_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:

     Computes assymmetric lower partial moments from a time  series of
     assets.

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

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

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

       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'.  

     tau: the target return. 

       a: the value of the moment.  

     ...: optional arguments to be passed. 

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

     returns a list with two entries named 'mu' and '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.

_R_e_f_e_r_e_n_c_e_s:

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

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

     ## LPP -
        LPP = as.timeSeries(data(LPP2005REC))[, 1:6]
        
        # Lower Partial Moments:
        assetsLPM(LPP)

