| trade.distance {PortfolioProbe} | R Documentation |
Returns the trade distance between two portfolios.
trade.distance(x, y, prices = NULL, scale = TRUE, tol = 1e-6)
x |
an object that is the result of trade.optimizer
or a named vector representing a portfolio.
|
y |
an object that is the result of trade.optimizer
or a named vector representing a portfolio.
|
prices |
a named vector of prices of the assets in the portfolios.
If NULL, then the prices components from
x and/or y are used.
|
scale |
either a logical value or a string that is (an abbreviation of) one of:
"x", "y", "min", "max", "mean",
"weight".
If FALSE, then the answer is the value (buys plus sells)
of the trade.
If TRUE, then the trade value is divided by the gross value
of x.
If a string, then the trade value is divided by the gross value of
one of the portfolios, by the minimum gross value, by the maximum
gross value, or by the mean gross value.
If "weight", then the weights are found first and
the differences are taken afterwards – in this case the distance
can be zero if the gross values of the two portfolios differ.
Also in this case, "x" and/or "y" can be given as
weight vectors – if the sum of absolute values is within
tol of 1, then the vector is considered a weight vector.
|
tol |
a single number giving the tolerace for testing if a vector is a weight vector, and the relative tolerance for two prices for the same asset being equal. |
a number. If scaling is done and the gross values of the two portfolios are equal, then the maximum possible is 2.
This help was last revised 2010 April 28.
op1 <- trade.optimizer(prices, varmat, gross.value=9e7,
long.only=TRUE)
op2 <- update(op1, seed=NULL)
trade.distance(op1, op2)