[R-SIG-Finance] portfolio.optim - RiskFreeRate

Brian G. Peterson brian at braverock.com
Tue Oct 6 11:45:47 CEST 2009


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



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