fPFOLIOSPEC-class {fPortfolio} | R Documentation |
Specifies portfolios.
## S4 method for signature 'fPFOLIOSPEC': show(object)
object |
an S4 object of class fPFOLIOSPEC .
|
Portfolio Specifcation Structure:
The S4 class fPFOLIOSPEC
specifies the portfolio. The slots
are:
type
of portfolio to be optimized,
and the mean/covariance estimator
to be applied:
type=c("MV","CVaR")
a character string denoting the type of
portfolio, the implemented types are the
Mean-Variance Markowitz Portfolio, "MV"
, and the
Mean-CVaR Portfolio, "CVaR"
.
estimator=c("mean","cov")
a vector of two character
strings, the first denoting the mean estimator, and the
second the covariance estimator. Additional meaningful
selections include robust covariance estimators, e.g.
c("mean","mcd")
, or c("mean","shrink")
.
tailRisk=list()
a list of optional tail risk information,
currently not used.params=list()
a list of optional model parameters,
currently not used.
weights=NULL
a numeric vector specifying the portfolio
weights.
targetReturn=NULL
a numeric value specifying the target
return. The default value sets the target return.
targetRisk=NULL
a numeric value specifying the target
risk.targetAlpha=NULL
a numeric value specifying the target
alpha confidence level for CVaR portfolio optimization.
The default value sets the target return.
riskFreeRate=0
a numeric value specifying the risk free
rate.
nFrontierPoints=50
a numeric value determining the number
of points on the efficient frontier.
type=c("quadprog", "Rdonlp2", "lpSolve")
a character
string specifying the name of the solver to be used.trace=FALSE
a logical flag, should the optimization be
traced?
portfolioSpec
returns an S4 object of class "fPFOLIOSPEC"
.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## spec - # Show Default Portfolio Specifications: Spec = portfolioSpec() ## setRiskFreeRate - # Change Risk Free Rate setRiskFreeRate(Spec) = 3 Spec