Return.portfolio will work only on daily or lower frequencies. If you are rebalancing intraday, you should be using a trades/prices framework like the blotter package, not a weights/returns framework. Irregular rebalancing can be done by specifying a time series of weights. The function uses the date index of the weights for xts-style. . An insurance portfolio produces N claims with the following distribution: n P(N=n) 0 0.1 1 0.5 2 0.4 Individual claim amounts have the following distribution: x fX(x) 0 0.7 10 0.2 20 0.1 Individual claim amounts and counts are independent. Stop Loss insurance is purchased with an aggregate deductible of 400% of expected claims.
Calculate weighted returns for a portfolio of assets
Using a time series of returns and any regular or irregular time series of weightsfor each asset, this function calculates the returns of a portfolio with the same periodicity of the returns data.
UsageArguments
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