Problem with geometric = TRUE in Return.rebalancing
Closed this issue · 1 comments
robustport commented
Description
The choices geometric = TRUE and geometric = FALSE result in the same result to machine precision in Return.rebalancing, and the result is arithmetic in both cases
Expected behavior
geometric = TRUE should give geometric returns
Minimal, reproducible example
GmvLSgeom <- Return.rebalancing(returns,wtsGmvLS)
GmvLSarith <- Return.rebalancing(returns,wtsGmvLS, geometric = FALSE)
GmvLSgeom - GmvLSarith
Session Info
[Insert your sessionInfo() output]
braverock commented
This is not a reproducible example. Neither your returns
object nor your wtsGmvLS
object are attached.
Please see the vignette:
https://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/portfolio_returns.pdf
All my local tests appear fine. If you are still having problems, please reopen with an actually reproducible example.