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portfolio.optim - RiskFreeRate
3 messages · Lara Shocron, Brian G. Peterson, Diethelm Wuertz
Lara Shocron wrote:
One of the arguments of portfolio.optim is rf, and corresponds to the risk free rate. Do you know if it's considered as an annual, monthly or daily rate?
rf should have the same periodicity as your return series. - Brian
Lara Shocron wrote:
Dear All, One of the arguments of portfolio.optim is rf, and corresponds to the risk free rate. Do you know if it's considered as an annual, monthly or daily rate? Thanks, Lara
It should be on the same time scale as your time series data Diethelm Wuertz