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Equal weighted portfolio in R quantstrat package
Started:June 10th, 2015 (12:18 PM) by tonald Views / Replies:591 / 2
Last Reply:June 10th, 2015 (10:11 PM) Attachments:0

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Equal weighted portfolio in R quantstrat package

Old June 10th, 2015, 12:18 PM   #1 (permalink)
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Hong Kong
Futures Experience: Beginner
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Equal weighted portfolio in R quantstrat package

I am now trying to create an equal weighted portfolio using quantstrat which will rebalance at the month end. Instead of using fixed quantities, I need to have the latest portfolio value reallocated to each constituents equally. May I know how can I achieve this in the add.rule? In other words, how can I draw the most updated portfolio value in each rebalancing?

To be clear, I will generate a list of 10 stocks each month end and what I want is to equally allocate the latest portfolio amount equally to the 10 stocks repeatedly each month end.

Any help will be appreciated.

Thanks Donald

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Old June 10th, 2015, 12:18 PM   #2 (permalink)
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Old June 10th, 2015, 10:11 PM   #3 (permalink)
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This post has been selected as an answer to the original posters question Answer

Wrong tool.



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