momentum function

Set momentum parameters for a portfolio.model

momentum sets a new alpha for VaR and Expected Shortfall

momentum(model, n_momentum, n_momentum.short = NULL)

Arguments

• model: the portfolio.model to be changed
• n_momentum: amount of momentum assets long
• n_momentum.short: amount of momentum assets short

Returns

the adapted portfolio.model

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance