momentum {portfolio.optimization} | R Documentation |
momentum
sets a new alpha for VaR and Expected Shortfall
momentum(model, n_momentum, n_momentum.short = NULL)
model |
the portfolio.model to be changed |
n_momentum |
amount of momentum assets long |
n_momentum.short |
amount of momentum assets short |
the adapted portfolio.model
Ronald Hochreiter, ronald@algorithmic.finance