使用来自的PerformanceAnalytics.pdf
示例
SharpeRatio(edhec, Rf = 0, FUN="VaR" , method="modified")
我根据(我假设)等权重投资组合假设获得每单位(VaR)
风险的回报,但是当我尝试添加权重时:
weights <- rep(1/13,13)
SharpeRatio(edhec, Rf = 0, FUN="VaR" , method="modified", portfolio_method="component",weights = weights)
我收到错误:
"Error in match.fun(FUNCT)(R, Rf = Rf, p = p, weights = weights, portfolio_method = "single", :
formal argument "portfolio_method" matched by multiple actual arguments"
有人知道如何(形式)扩展SharpeRatio
功能以合并投资组合权重吗?