Description Usage Arguments Details Value Note Author(s) References See Also Examples

This function returns the result of a long-only portfolio optimization whereby the portfolio's (historic) average draw down is constrained to an upper limit.

1 |

`PriceData` |
A rectangular array of price data. |

`AveDD` |
Numeric, the upper bound of the average portfolio draw down. |

`softBudget` |
Logical, whether the budget constraint shall be
implemented as a soft constraint, |

`...` |
Arguments are passed down to |

This function implements a long-only portfolio optimisation with an average draw down constraint (see references below). The problem can be stated in the form of a linear program and GLPK is used as solver.

An object of formal class `"PortAdd"`

.

A warning is issued in case the solver had exit status not equal to zero.

Bernhard Pfaff

Chekhlov, A. and Uryasev, S. and Zabarankin, M., Portfolio
Optimization with Drawdown Constraints, Department of Industrial and
Systems Engineering, University of Florida, *Research Report
2000-5*, 2000, Gainesville, FL.
Chekhlov, A. and Uryasev, S. and Zabarankin, M., Drawdown Measure in
Portfolio Optimization, *International Journal of Theoretical and
Applied Finance*, 2005, 8(1), 13–58.

`"PortSol"`

, `"PortAdd"`

,
`"PortDD"`

, `PMaxDD`

,
`PCDaR`

, `PMinCDaR`

1 2 3 4 5 | ```
## Not run:
data(StockIndex)
popt <- PAveDD(PriceData = StockIndex, AveDD = 0.1, softBudget = TRUE)
## End(Not run)
``` |

FRAPO documentation built on May 2, 2019, 6:33 a.m.

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