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鉴于我每月在投资组合中使用权重，但我想重新平衡我的投资组合，比如每季度一次。我如何创建一个函数，从我原来的每月权重中减去每个季度的权重，然后重复这些权重直到下一个季度等？我已经尝试使用包中的Return.portfolioand the Return.rebalancing，PerformanceAnalytics但它似乎没有给我正确的答案。

假设原始权重如下所示：

               [,1]       [,2]      [,3]      [,4]
January   0.5934314 0.40594301 0.1017005 0.5273729
February  0.4186024 0.43438567 0.2401071 0.1998037
March     0.4916238 0.34787895 0.5021476 0.5630176
April     0.1722450 0.03804423 0.3836163 0.3663108
May       0.4119517 0.32062497 0.1087187 0.4715353
June      0.1319934 0.09609216 0.4827495 0.2007550
July      0.1748113 0.36587410 0.2160457 0.1891824
August    0.5924169 0.26085346 0.3804973 0.4542487
September 0.3178340 0.40817036 0.1026307 0.5350073
October   0.1029935 0.51396102 0.2648184 0.3430611
November  0.3668116 0.42736210 0.2782707 0.5204025
December  0.1523560 0.06694210 0.2345268 0.1135560

库存 1 应产生以下结果：

              [,1]
January   0.5934314
February  0.5934314
March     0.5934314
April     0.1722450
May       0.1722450
June      0.1722450
July      0.1748113
August    0.1748113
September 0.1748113
October   0.1029935
November  0.1029935
December  0.1029935

与股票 2,3 和 4 类似。我想将所有结果存储在一个新元素中，例如weights.new.

4

2 回答 2

1

下面呢？

library(PerformanceAnalytics);

RebalanceQtr = function(Port.Wgt.xts) {

# Get Qtr endpoints
Port.Qtr.Dts = endpoints(Port.Wgt.xts,on="quarter");

# Get Qtrly Portflio
Port.Qtr = Port.Wgt.xts[Port.Qtr.Dts];

# Merge with Original Portfolio
Port.new = merge(Port.Wgt.xts,Port.Qtr);

# Change colname
colnames(Port.new) = c("Wgt","Wgt.New");

# LOCF
Port.new[,"Wgt.New"] = na.locf(Port.new$"Wgt.New");

return(Port.new);
}
于 2018-07-09T13:15:04.523 回答
1

如果您的原始权重存储在 中weight.mat，您可以执行以下操作

new.weights <- weight.mat[1 + (ceiling((1:12)/3) - 1)*3,]

为了弄清楚发生了什么，1 + (ceiling((1:12)/3) - 1)*3返回

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于 2018-07-09T13:37:16.673 回答