braverock/PortfolioAnalytics

geometric chaining is used for portfolio return calculations in proxy.mult.portfolio

rossb34 opened this issue · 0 comments

rossb34 commented

Geometric chaining is used by default for aggregating returns in proxy.mult.portfolio. This is a reasonable default, but does not work for portfolios with negative weights. We can either

  1. detect negative weights and switch geometric = FALSE in proxy.mult.portfolio
  2. pass through as an argument
  3. add as a fix to PerformanceAnalytics::Return.portfolio to throw a warning if negative weights are detected and then set geometric = FALSE