by Patrick Burns.
Abstract: Realized tracking errors are examined for a series of optimized portfolios using various estimates for the variance matrix. It is clear that the benchmark should be added mathematically to the variance matrix using the constituent weights — this dramatically outperforms the case where the benchmark is a separate asset in the return matrix or where relative returns are used. The common belief that factor models are to be preferred to sample variance estimates is confirmed, but only on condition that the benchmark is added mathematically to the variance matrix.
This version: 2003 May 06 (pdf)
See also the blog post ”How to add a benchmark to a variance matrix”.
jun 25, 26
Several packages on CRAN provide (or relate to) interfaces between databases and R. Here is a summary, mostly in the words of the package descriptions. Remember that package names are [...]
jun 25, 26
Chapter 32 of Tao Te Programming advises you to make bricks instead of monoliths. Here is an example. The example is written with the syntax of R and is a [...]
jun 25, 26
There is a mechanism that allows variability in the arguments given to R functions. Technically it is ellipsis, but more commonly called ”…”, dots, dot-dot-dot or three-dots. Basics The three-dots [...]