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14h
comment multiperiod optimization using R
I didn't know that. Many thank for the link. The option using DEoptim seems interesting. Generally and this isbrelated to our other discussion. What kind of returns does all these function expect? Log, relative etc?
1d
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Exactly, I would define log returns as you stated. That means I have first to transform them to arithmetic returns, and retransform them afterwards to logarithmic? If they would be log returns, rhey would be additive
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accepted How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
2d
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Thanks for you patience. I accepted your answer. Just one small additional question: Assume I have log returns, which I pass to Return.rebalancing. Then I get as value back the returns of the portfolio. This are still logreturns, right? To get the cumulative return I just have to sum them up, right? Many thanks for your help!
2d
comment multiperiod optimization using R
thanks for also answering this question. your shared link does not work (copied the whole text). Could you please fix this? Moreover, I know that we can solve this using PortfolioAnalytics. However, from a mathematical viewpoint it is not clear (and I think it is not true) that this is greedy algorithm
2d
awarded  Benefactor
Sep
14
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
and a last question before accepting your answer: As output I get an xts object with the return per period. are these returns simple or continuous, i.e. can I just sum them up to get the cumulative return over the whole period?
Sep
14
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Thanks for your patience. I had a look at your edited answer. It seems that it uses a simple compounding, is this correct? But if the initial Returns are continuously compounded they are not aligned any more, right? Just one example to be sure: Assume we have two rebalancing dates (of weights): 1st of January and 1st of March. Returns are on a daily basis. So all returns between 2nd of January and 1st of March are multiplied by the weights given on the 1st of Jan, correct?
Sep
11
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Especially: regarding the help, the weight date should be seen as end of period datr. Does this mean up to this date the corresponding weights are valid?
Sep
11
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Thx for you answer! Could you please elaborate a little bit on "....Loops through all of the return subseries calculating the weights * the previous amount in the return period (essentially floating it and rebalancing on the weight matrix). It takes the total value of each period in the return series and divides it by the starting value in the period to calculate the periodic return."
Sep
10
accepted MPT and the connection to asset prices / initial capital
Sep
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awarded  Promoter
Sep
9
asked MPT and the connection to asset prices / initial capital
Sep
8
awarded  Custodian
Sep
8
reviewed Approve suggested edit on How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Sep
8
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
@SRKX Thx for your comment. I will include the link when I'm at home. Feel free to move it to SO if you thinks it fits there better. I was unsure as well
Sep
8
revised How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
added 44 characters in body
Sep
7
asked How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Aug
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asked Approximation of different volatilities
Aug
20
comment multiperiod optimization using R
@BobJansen I added just an example I found in the web. hope my question is now clearer formulated