R语言金融工程杠杆空间交易模型

guru_4

http://www.docin.com/p-1830507454.html

读Vince's book, \The Leverage Space Trading Model," 检查书中的计算结
果。然后用他们的包计算了一下。这些例子都是在87页提供的。我只能证
实前两个的计算。
library(LSPM)
# Multiple strategy example (data found on pp. 84-87)
trades <- cbind(
c(-150,-45.33,-45.33,rep(13,5),rep(79.67,3),136),
c(253,-1000,rep(-64.43,3),253,253,448,rep(-64.43,3),253),
c(533,220.14,220.14,-500,533,220.14,799,220.14,-325,220.14,533,220.14))
probs <- c(rep(0.076923077,2),0.153846154,rep(0.076923077,9))
# Create a Leverage Space Portfolio object
port <- lsp(trades,probs)