feasiblePortfolio {fPortfolio} | R Documentation |
Returns properties of a feasible portfolio.
feasiblePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
constraints |
a character string vector, containing the constraints of the form"minW[asset]=percentage" for box constraints resp. "maxsumW[assets]=percentage" for sector constraints.
|
data |
a multivariate time series described by an S4 object of class
timeSeries . If your timeSerie is not a timeSeries
object, consult the generic function as.timeSeries to
convert your time series.
|
spec |
an S4 object of class fPFOLIOSPEC as returned by the function
portfolioSpec .
|
A Feasible Portfolio:
A feasible portfolio is a portfolio with given weights which lies inside the feasible region of portfolios.
The function requires three arguments: data
, spec
(specifications), and constraints
, see above. Be sure that
the specification structure "spec"
has defined a weights
vector which is different from "NULL"
. To assign values
to the weights in the specification structure, use the function
setWeights
.
The feasiblePortfolio
function returns the properties of
the feasible portfolio as an S4 object of class fPORTFOLIO
.
feasiblePortfolio
function returns an S4 object of class
"fPORTFOLIO"
, with the following slots:
@call |
a call, returning the matched function call. |
@data |
a list with two named elements, series holding the time series
data if available, otherwise NA, and statistics , itself a
named list with two named elements mu and Sigma
holding the vector of means and the matrix of covariances.
|
@description |
a character string, allowing for a brief project description. |
@portfolio |
a list, containing parameter specifications for the portfolio:weights a numeric vector specifying the portfolio
weights,targetReturn a numeric value specifying the target
return,targetRisk a numeric value specifying the target
risk,targetMean a numeric value specifying the target
return determinated with function mean(),targetStdev a numeric value specifying the target risk in
standart deviation as risk measure.
|
@specification |
a list with one named element spec which represents an object
of class fPFOLIOSPEC , including all information about
the portfolio specifications.
|
@title |
a title string. |
## data - # Load Data and Convert to timeSeries Object: Data = as.timeSeries(data(smallcap.ts)) Data = Data[, c("BKE", "GG", "GYMB", "KRON")] Data ## portfolioSpec - # Set Default Specifications: Spec = portfolioSpec() setWeights(Spec) = rep(0.25, times = 4) Spec ## Allow for unlimited Short Selling: Constraints = "LongOnly" ## Compute properties of Efficient Portfolio feasiblePortfolio(Data, Spec, Constraints)