[Returnanalytics-commits] r3310 - in pkg/PerformanceAnalytics: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Feb 13 22:55:33 CET 2014
Author: braverock
Date: 2014-02-13 22:55:33 +0100 (Thu, 13 Feb 2014)
New Revision: 3310
Added:
pkg/PerformanceAnalytics/codeblock.txt
pkg/PerformanceAnalytics/man/lpm.Rd
Modified:
pkg/PerformanceAnalytics/.Rbuildignore
pkg/PerformanceAnalytics/NAMESPACE
pkg/PerformanceAnalytics/R/legend.R
pkg/PerformanceAnalytics/R/textplot.R
pkg/PerformanceAnalytics/R/zzz.R
pkg/PerformanceAnalytics/generatechangelog.sh
pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
pkg/PerformanceAnalytics/man/MSquared.Rd
Log:
- update roxygen docs
- update exports to create roxygen-generated NAMESPACE file
Modified: pkg/PerformanceAnalytics/.Rbuildignore
===================================================================
--- pkg/PerformanceAnalytics/.Rbuildignore 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/.Rbuildignore 2014-02-13 21:55:33 UTC (rev 3310)
@@ -1,3 +1,5 @@
sandbox
generatechangelog.sh
ChangeLog.1.0.0
+^.*\.Rproj$
+^\.Rproj\.user$
Modified: pkg/PerformanceAnalytics/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/NAMESPACE 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/NAMESPACE 2014-02-13 21:55:33 UTC (rev 3310)
@@ -1,460 +1,202 @@
-# NAMESPACE file for PerformanceAnalytics
-
-importFrom("utils", "packageDescription")
-importFrom("stats", "sd")
-
-importFrom("zoo", "rollapply")
-
-# export all functions/variables that don't start with a .
-# exportPattern("^[^\\.]")
-
-
-export(
- ActivePremium,
- AdjustedSharpeRatio,
- apply.fromstart,
- apply.rolling,
- AppraisalRatio,
- AverageDrawdown,
- AverageRecovery,
- BernardoLedoitRatio,
- BetaCoKurtosis,
- BetaCoSkewness,
- BetaCoVariance,
- BurkeRatio,
- CalculateReturns,
- CalmarRatio,
- CAPM.alpha,
- CAPM.beta,
- CAPM.beta.bear,
- CAPM.beta.bull,
- CAPM.CML,
- CAPM.CML.slope,
- CAPM.dynamic,
- CAPM.epsilon,
- CAPM.jensenAlpha,
- CAPM.RiskPremium,
- CAPM.SML.slope,
- CDD,
- checkData,
- clean.boudt,
- CoKurtosis,
-# CoKurtosisMatrix, #export after co-moments paper is done
- CoSkewness,
-# CoSkewnessMatrix, #export after co-moments paper is done
- CoVariance,
- DownsideDeviation,
- DownsideFrequency,
- DownsidePotential,
- DRatio,
- Drawdowns,
- DrawdownDeviation,
- ES,
- ETL,
- CVaR,
- DrawdownPeak,
- findDrawdowns,
- FamaBeta,
- Frequency,
- InformationRatio,
- Kappa,
- KellyRatio,
- kurtosis,
- M2Sortino,
- maxDrawdown,
- MarketTiming,
- MartinRatio,
- MeanAbsoluteDeviation,
- mean.geometric,
- mean.LCL,
- mean.stderr,
- mean.UCL,
- Modigliani,
- MSquared,
- MSquaredExcess,
- NetSelectivity,
- Omega,
- OmegaExcessReturn,
- OmegaSharpeRatio,
-# pfolioReturn,
- PainIndex,
- PainRatio,
- ProspectRatio,
- Return.annualized,
- Return.annualized.excess,
- Return.calculate,
- Return.centered,
- Return.clean,
- Return.cumulative,
- Return.excess,
- Return.Geltner,
- Return.portfolio,
- Return.rebalancing,
- Return.read,
- Return.relative,
- sd.annualized,
- sd.multiperiod,
- Selectivity,
- SemiDeviation,
- SemiVariance,
- SharpeRatio,
- SharpeRatio.annualized,
- SharpeRatio.modified,
- skewness,
- SkewnessKurtosisRatio,
- SmoothingIndex,
- sortDrawdowns,
- SortinoRatio,
- SpecificRisk,
- StdDev,
- StdDev.annualized,
- SterlingRatio,
- SystematicRisk,
-# style.fit,
-# style.QPfit,
- TimingRatio,
- TotalRisk,
- TrackingError,
- TreynorRatio,
- UpDownRatios,
- UPR,
- UpsideFrequency,
- UpsidePotentialRatio,
- UpsideRisk,
- VaR,
- VolatilitySkewness
-)
-
-## Tables
-export(
- table.AnnualizedReturns,
- table.Arbitrary,
- table.Autocorrelation,
- table.CalendarReturns,
- table.CAPM,
- table.SFM,
- table.CaptureRatios,
- table.Correlation,
- table.Distributions,
- table.DownsideRisk,
- table.DownsideRiskRatio,
- table.Drawdowns,
- table.DrawdownsRatio,
- table.HigherMoments,
- table.InformationRatio,
- table.Returns,
- table.SpecificRisk,
- table.Stats,
- table.TrailingPeriods,
- table.TrailingPeriodsRel,
- table.UpDownRatios,
- table.Variability
-)
-
-## Charts
-export(
- chart.ACF,
- chart.ACFplus,
- chart.Bar,
- charts.Bar,
- chart.BarVaR,
- charts.BarVaR,
- chart.Boxplot,
- chart.CaptureRatios,
- chart.Correlation,
-# chart.Correlation.color,
- chart.CumReturns,
- chart.Drawdown,
- chart.ECDF,
- chart.Events,
- chart.Histogram,
- chart.QQPlot,
- chart.Regression,
- chart.RelativePerformance,
- chart.RiskReturnScatter,
- chart.RollingCorrelation,
- chart.RollingMean,
- chart.RollingPerformance,
- chart.RollingRegression,
- chart.RollingQuantileRegression,
-# chart.RollingStyle,
- chart.Scatter,
- chart.SnailTrail,
- charts.PerformanceSummary,
- charts.RollingPerformance,
- charts.RollingRegression,
- chart.StackedBar,
-# chart.Style,
- chart.TimeSeries,
- chart.VaRSensitivity,
- textplot
-)
-
-export(
- allsymbols,
- bluefocus,
- bluemono,
- bond.dates,
- bond.labels,
- closedsymbols,
- cycles.dates,
- dark6equal,
- dark8equal,
- equity.dates,
- equity.labels,
- fillsymbols,
- greenfocus,
- greenmono,
- grey6mono,
- grey8mono,
- legend,
- linesymbols,
- macro.dates,
- macro.labels,
- opensymbols,
- rainbow10equal,
- rainbow12equal,
- rainbow6equal,
- rainbow8equal,
- redfocus,
- redmono,
- rich10equal,
- rich12equal,
- rich6equal,
- rich8equal,
- risk.dates,
- risk.labels,
- set6equal,
- set8equal,
- tim10equal,
- tim12equal,
- tim6equal,
- tim8equal
-)
-
-S3method(textplot, default)
-S3method(textplot, character)
-S3method(textplot, data.frame)
-S3method(textplot, matrix)
-
-# # Export These
-# ActivePremium
-# apply.fromstart
-# apply.rolling
-# BetaCoKurtosis
-# BetaCoSkewness
-# BetaCoVariance
-# CalculateReturns
-# CalmarRatio
-# CAPM.alpha
-# CAPM.beta
-# CAPM.beta.bear
-# CAPM.beta.bull
-# CAPM.CML
-# CAPM.CML.slope
-# CAPM.RiskPremium
-# CAPM.SML.slope
-# chart.ACF
-# chart.ACFplus
-# chart.Bar
-# chart.BarVaR
-# chart.Boxplot
-# chart.CaptureRatios
-# chart.Correlation
-# chart.Correlation.color
-# chart.CumReturns
-# chart.Drawdown
-# chart.ECDF
-# chart.Histogram
-# chart.QQPlot
-# chart.Regression
-# chart.RelativePerformance
-# chart.RiskReturnScatter
-# chart.RollingCorrelation
-# chart.RollingMean
-# chart.RollingPerformance
-# chart.RollingRegression
-# chart.RollingStyle
-# chart.Scatter
-# chart.SnailTrail
-# charts.PerformanceSummary
-# charts.RollingPerformance
-# charts.RollingRegression
-# chart.StackedBar
-# chart.Style
-# chart.TimeSeries
-# chart.VaRSensitivity
-# checkData
-# clean.boudt
-# CoKurtosis
-# CoKurtosisMatrix
-# CoSkewness
-# CoSkewnessMatrix
-# CoVariance
-# DownsideDeviation
-# Drawdowns
-# ES
-# findDrawdowns
-# InformationRatio
-# KellyRatio
-# kurtosis
-# maxDrawdown
-# mean.geometric
-# mean.LCL
-# mean.stderr
-# mean.UCL
-# modifiedVaR
-# modSharpe
-# multivariate_mean
-# Omega
-# pfolioReturn
-# Return.annualized
-# Return.calculate
-# Return.centered
-# Return.clean
-# Return.cumulative
-# Return.excess
-# Return.Geltner
-# Return.portfolio
-# Return.portfolio.multiweight
-# Return.read
-# Return.relative
-# sd.annualized
-# sd.multiperiod
-# SemiDeviation
-# SemiVariance
-# SharpeRatio
-# SharpeRatio.annualized
-# SharpeRatio.modified
-# skewness
-# SmoothingIndex
-# sortDrawdowns
-# SortinoRatio
-# SterlingRatio
-# style.fit
-# style.QPfit
-# table.AnnualizedReturns
-# table.Arbitrary
-# table.Autocorrelation
-# table.CalendarReturns
-# table.CAPM
-# table.CaptureRatios
-# table.Correlation
-# table.DownsideRisk
-# table.Drawdowns
-# table.HigherMoments
-# table.MonthlyReturns
-# table.Returns
-# table.UpDownRatios
-# textplot
-# TimingRatio
-# TrackingError
-# TreynorRatio
-# UpDownRatios
-# UPR
-# UpsidePotentialRatio
-# VaR
-
-# # graphics stuff to export
-# allsymbols
-# bluefocus
-# bluemono
-# bond.dates
-# bond.labels
-# closedsymbols
-# cycles.dates
-# dark6equal
-# dark8equal
-# equity.dates
-# equity.labels
-# fillsymbols
-# greenfocus
-# greenmono
-# grey6mono
-# grey8mono
-# legend
-# linesymbols
-# macro.dates
-# macro.labels
-# opensymbols
-# rainbow10equal
-# rainbow12equal
-# rainbow6equal
-# rainbow8equal
-# redfocus
-# redmono
-# rich10equal
-# rich12equal
-# rich6equal
-# rich8equal
-# risk.dates
-# risk.labels
-# set6equal
-# set8equal
-# tim10equal
-# tim12equal
-# tim6equal
-# tim8equal
-
-# # internal/obsolete functions, do not export
-# centeredcomoment
-# centeredmoment
-# checkDataMatrix
-# checkDataVector
-# checkDataZoo
-# derIpower
-# derportm2
-# derportm3
-# derportm4
-# download.RiskFree
-# download.SP500PriceReturns
-# ES.CornishFisher
-# ES.CornishFisher.portfolio
-# ES.Gaussian
-# ES.Gaussian.portfolio
-# ES.historical.portfolio
-# GES.MM
-# GVaR.MM
-# Ipower
-# kernel
-# kurtosis.MM
-# mES.MM
-# modifiedVaR
-# multivariate_mean
-# mVaR.MM
-# M3.MM
-# M4.MM
-# portm2
-# portm3
-# portm4
-# Portmean
-# Portsd
-# precision
-# pvalJB
-# operES.CornishFisher
-# operES.CornishFisher.portfolio
-# skewness.MM
-# SR.GES.MM
-# SR.GVaR.MM
-# SR.mES.MM
-# SR.mVaR.MM
-# SR.StdDev.MM
-# statsTable
-# std
-# StdDev.annualized
-# StdDev.MM
-# textplot.character
-# textplot.data.frame
-# textplot.default
-# textplot.matrix
-# timing.ratio
-# VaR.Beyond
-# VaR.CornishFisher
-# VaR.CornishFisher.portfolio
-# VaR.Gaussian
-# VaR.Gaussian.portfolio
-# VaR.historical.portfolio
-# VaR.kernel.portfolio
-# VaR.Marginal
-# VaR.mean
-# VaR.traditional
+S3method(mean,LCL)
+S3method(mean,UCL)
+S3method(mean,geometric)
+S3method(mean,stderr)
+S3method(textplot,character)
+S3method(textplot,data.frame)
+S3method(textplot,default)
+S3method(textplot,matrix)
+export(ActiveReturn)
+export(AdjustedSharpeRatio)
+export(AppraisalRatio)
+export(AverageDrawdown)
+export(AverageRecovery)
+export(BernardoLedoitRatio)
+export(BetaCoKurtosis)
+export(BetaCoSkewness)
+export(BetaCoVariance)
+export(BurkeRatio)
+export(CAPM.CML)
+export(CAPM.CML.slope)
+export(CAPM.RiskPremium)
+export(CAPM.SML.slope)
+export(CAPM.alpha)
+export(CAPM.beta)
+export(CAPM.beta.bear)
+export(CAPM.beta.bull)
+export(CAPM.dynamic)
+export(CAPM.epsilon)
+export(CAPM.jensenAlpha)
+export(CDD)
+export(CalculateReturns)
+export(CalmarRatio)
+export(CoKurtosis)
+export(CoSkewness)
+export(CoVariance)
+export(DRatio)
+export(DownsideDeviation)
+export(DownsideFrequency)
+export(DrawdownDeviation)
+export(DrawdownPeak)
+export(ETL)
+export(FamaBeta)
+export(Frequency)
+export(InformationRatio)
+export(Kappa)
+export(KellyRatio)
+export(M2Sortino)
+export(MSquared)
+export(MSquaredExcess)
+export(MarketTiming)
+export(MartinRatio)
+export(MeanAbsoluteDeviation)
+export(Modigliani)
+export(NetSelectivity)
+export(Omega)
+export(OmegaExcessReturn)
+export(OmegaSharpeRatio)
+export(PainIndex)
+export(PainRatio)
+export(ProspectRatio)
+export(Return.Geltner)
+export(Return.annualized)
+export(Return.annualized.excess)
+export(Return.calculate)
+export(Return.centered)
+export(Return.clean)
+export(Return.cumulative)
+export(Return.excess)
+export(Return.portfolio)
+export(Return.read)
+export(Return.rebalancing)
+export(Return.relative)
+export(Selectivity)
+export(SemiDeviation)
+export(SemiVariance)
+export(SharpeRatio)
+export(SharpeRatio.annualized)
+export(SharpeRatio.modified)
+export(SkewnessKurtosisRatio)
+export(SmoothingIndex)
+export(SortinoRatio)
+export(SpecificRisk)
+export(StdDev)
+export(StdDev.annualized)
+export(SterlingRatio)
+export(SystematicRisk)
+export(TimingRatio)
+export(TotalRisk)
+export(TrackingError)
+export(TreynorRatio)
+export(UlcerIndex)
+export(UpDownRatios)
+export(UpsideFrequency)
+export(UpsidePotentialRatio)
+export(UpsideRisk)
+export(VaR)
+export(VolatilitySkewness)
+export(allsymbols)
+export(apply.fromstart)
+export(apply.rolling)
+export(bluefocus)
+export(bluemono)
+export(bond.dates)
+export(bond.labels)
+export(centeredcomoment)
+export(centeredmoment)
+export(chart.ACF)
+export(chart.ACFplus)
+export(chart.Bar)
+export(chart.BarVaR)
+export(chart.Boxplot)
+export(chart.CaptureRatios)
+export(chart.Correlation)
+export(chart.CumReturns)
+export(chart.Drawdown)
+export(chart.ECDF)
+export(chart.Events)
+export(chart.Histogram)
+export(chart.QQPlot)
+export(chart.Regression)
+export(chart.RelativePerformance)
+export(chart.RiskReturnScatter)
+export(chart.RollingCorrelation)
+export(chart.RollingMean)
+export(chart.RollingPerformance)
+export(chart.RollingQuantileRegression)
+export(chart.RollingRegression)
+export(chart.Scatter)
+export(chart.SnailTrail)
+export(chart.StackedBar)
+export(chart.TimeSeries)
+export(chart.VaRSensitivity)
+export(charts.Bar)
+export(charts.BarVaR)
+export(charts.PerformanceSummary)
+export(charts.RollingPerformance)
+export(charts.RollingRegression)
+export(charts.TimeSeries)
+export(checkData)
+export(clean.boudt)
+export(closedsymbols)
+export(cycles.dates)
+export(dark6equal)
+export(dark8equal)
+export(equity.dates)
+export(equity.labels)
+export(fillsymbols)
+export(findDrawdowns)
+export(greenfocus)
+export(greenmono)
+export(grey6mono)
+export(grey8mono)
+export(kurtosis)
+export(legend)
+export(linesymbols)
+export(lpm)
+export(macro.dates)
+export(macro.labels)
+export(maxDrawdown)
+export(opensymbols)
+export(rainbow10equal)
+export(rainbow12equal)
+export(rainbow6equal)
+export(rainbow8equal)
+export(redfocus)
+export(redmono)
+export(rich10equal)
+export(rich12equal)
+export(rich6equal)
+export(rich8equal)
+export(risk.dates)
+export(risk.labels)
+export(set6equal)
+export(set8equal)
+export(skewness)
+export(sortDrawdowns)
+export(table.AnnualizedReturns)
+export(table.Arbitrary)
+export(table.Autocorrelation)
+export(table.CalendarReturns)
+export(table.CaptureRatios)
+export(table.Correlation)
+export(table.Distributions)
+export(table.DownsideRisk)
+export(table.DownsideRiskRatio)
+export(table.Drawdowns)
+export(table.DrawdownsRatio)
+export(table.HigherMoments)
+export(table.InformationRatio)
+export(table.SFM)
+export(table.SpecificRisk)
+export(table.Stats)
+export(table.TrailingPeriods)
+export(table.Variability)
+export(textplot)
+export(tim10equal)
+export(tim12equal)
+export(tim6equal)
+export(tim8equal)
+importFrom(stats,sd)
+importFrom(utils,packageDescription)
+importFrom(zoo,rollapply)
Modified: pkg/PerformanceAnalytics/R/legend.R
===================================================================
--- pkg/PerformanceAnalytics/R/legend.R 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/R/legend.R 2014-02-13 21:55:33 UTC (rev 3310)
@@ -81,6 +81,11 @@
#' @seealso \code{\link[graphics]{legend}}
#' @keywords internal
#' @export
+#' @export allsymbols bluefocus bluemono bond.dates bond.labels closedsymbols cycles.dates
+#' @export dark6equal dark8equal equity.dates equity.labels fillsymbols greenfocus greenmono grey6mono
+#' @export grey8mono legend linesymbols macro.dates macro.labels opensymbols rainbow10equal
+#' @export rainbow12equal rainbow6equal rainbow8equal redfocus redmono rich10equal rich12equal rich6equal
+#' @export rich8equal risk.dates risk.labels set6equal set8equal tim10equal tim12equal tim6equal tim8equal
legend <-
function (x, y = NULL, legend, fill = NULL, col = par("col"),
lty, lwd, pch, angle = 45, density = NULL, bty = "o", bg = par("bg"),
Modified: pkg/PerformanceAnalytics/R/textplot.R
===================================================================
--- pkg/PerformanceAnalytics/R/textplot.R 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/R/textplot.R 2014-02-13 21:55:33 UTC (rev 3310)
@@ -92,7 +92,11 @@
#'
#' # title(main="Calendar Returns")
#'
-#'
+#' @S3method textplot default
+#' @S3method textplot character
+#' @S3method textplot data.frame
+#' @S3method textplot matrix
+#'
#' @export
textplot <- function(object, halign="center", valign="center", cex,
max.cex = 1, cmar=2, rmar=0.5,
Modified: pkg/PerformanceAnalytics/R/zzz.R
===================================================================
--- pkg/PerformanceAnalytics/R/zzz.R 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/R/zzz.R 2014-02-13 21:55:33 UTC (rev 3310)
@@ -16,6 +16,12 @@
odd <- function (x) x%%2==1
sd.xts <- xts:::sd.xts
+
+#' @importFrom utils packageDescription
+#' @importFrom stats sd
+#' @importFrom zoo rollapply
+NULL
+
###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
Added: pkg/PerformanceAnalytics/codeblock.txt
===================================================================
--- pkg/PerformanceAnalytics/codeblock.txt (rev 0)
+++ pkg/PerformanceAnalytics/codeblock.txt 2014-02-13 21:55:33 UTC (rev 3310)
@@ -0,0 +1,13 @@
+
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2014 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################
Property changes on: pkg/PerformanceAnalytics/codeblock.txt
___________________________________________________________________
Added: svn:keywords
+ Date Author Revision Id
Modified: pkg/PerformanceAnalytics/generatechangelog.sh
===================================================================
--- pkg/PerformanceAnalytics/generatechangelog.sh 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/generatechangelog.sh 2014-02-13 21:55:33 UTC (rev 3310)
@@ -3,4 +3,4 @@
#cvs2cl -T -P -S --no-wrap
svn2cl --group-by-day -a
svn2cl --group-by-day -a
-cat ChangeLog.1.0.0 >> ChangeLog
+#cat ChangeLog.1.0.0 >> ChangeLog
Modified: pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/DownsideDeviation.Rd 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/man/DownsideDeviation.Rd 2014-02-13 21:55:33 UTC (rev 3310)
@@ -106,9 +106,9 @@
#with data used in Bacon 2008
data(portfolio_bacon)
-MAR = 0.5
-DownsideDeviation(portfolio_bacon[,1], MAR) #expected 0.493
-DownsidePotential(portfolio_bacon[,1], MAR) #expected 0.491
+MAR = 0.005
+DownsideDeviation(portfolio_bacon[,1], MAR) #expected 0.0255
+DownsidePotential(portfolio_bacon[,1], MAR) #expected 0.0137
#with data of managers
Modified: pkg/PerformanceAnalytics/man/MSquared.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/MSquared.Rd 2014-02-13 19:51:14 UTC (rev 3309)
+++ pkg/PerformanceAnalytics/man/MSquared.Rd 2014-02-13 21:55:33 UTC (rev 3310)
@@ -32,7 +32,7 @@
}
\examples{
data(portfolio_bacon)
-print(MSquared(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.1068
+print(MSquared(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.10062
data(managers)
print(MSquared(managers['1996',1], managers['1996',8]))
Added: pkg/PerformanceAnalytics/man/lpm.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/lpm.Rd (rev 0)
+++ pkg/PerformanceAnalytics/man/lpm.Rd 2014-02-13 21:55:33 UTC (rev 3310)
@@ -0,0 +1,29 @@
+\name{lpm}
+\alias{lpm}
+\title{calculate the lower partial moment of a time series}
+\usage{
+ lpm(R, n, threshold, about_mean = FALSE)
+}
+\arguments{
+ \item{R}{xts data}
+
+ \item{n}{the n-th moment to return}
+
+ \item{threshold}{threshold can be the mean or any point
+ as desired}
+
+ \item{about_mean}{TRUE/FALSE calculate LPM about the mean
+ under the threshold or use the threshold to calculate the
+ LPM around (if FALSE)}
+}
+\description{
+ Code to calculate the Lower Partion Moments around the
+ mean or a specified threshold from Huffman S,P & Moll
+ C.R. 2011 "The impact of Asymmetry on Expected Stock
+ Returns: An Investigation of Alternative Risk Measures"
+ Algorithmic Finance 1 (2011) 79-93
+}
+\author{
+ Kyle Balkissoon /email{kylebalkissoon
+}
+
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