I have a sample of daily portfolio returns and would like to estimate the weights using 252-day periods, starting with the 1st day of the sample, and do rebalancing every 126 days. How do I define the following parameters: rebalance_on, training_period, rolling_window
Thank you, Alec _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
