Description Usage Arguments Details Value Note Author(s) References See Also Examples
This function returns the solution of the most diversified portfolio (long-only).
1 |
Returns |
A rectangular array of return data. |
percentage |
Logical, whether the weights shall be returned as decimals or percentages (default). |
optctrl |
Object of class |
... |
Arguments are passed down to |
The optimisation problem is akin to that of a global minimum-variance portfolio, but instead of using the variance-covariance matrix of the asset returns, the correlation matrix is utilised as dispersion measure. The weights are then recovered by rescaling the optimal solution with the assets' standard deviations and normalizing, such that the weights sum to one.
An object of formal class "PortSol"
.
The optimisation is conducted by calling cccp()
.
Bernhard Pfaff
Choueifaty, Y. and Coignard, Y. (2008): Toward Maximum Diversification, Journal of Portfolio Management, Vol. 34, No. 4, 40–51.
Choueifaty, Y. and Coignard, Y. and Reynier, J. (2011): Properties of the Most Diversified Portfolio, Working Paper, http://papers.ssrn.com
1 2 3 | data(MultiAsset)
Rets <- returnseries(MultiAsset, method = "discrete", trim = TRUE)
PMD(Rets)
|
Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)
Iteration: 0
pobj: 0.11477
dobj: -0.961072
pinf: 0
dinf: 3.76706
dgap: 1.07584
Iteration: 1
pobj: 0.113632
dobj: 0.00263219
pinf: 2.22045e-16
dinf: 0.387308
dgap: 0.111
Iteration: 2
pobj: 0.110322
dobj: 0.0805013
pinf: 2.22045e-16
dinf: 0.095544
dgap: 0.0298208
Iteration: 3
pobj: 0.107587
dobj: 0.0965035
pinf: 4.44089e-16
dinf: 0.0295032
dgap: 0.0110831
Iteration: 4
pobj: 0.105282
dobj: 0.102542
pinf: 8.88178e-16
dinf: 0.00180192
dgap: 0.00273982
Iteration: 5
pobj: 0.10454
dobj: 0.103948
pinf: 1.55431e-15
dinf: 9.80713e-05
dgap: 0.000592444
Iteration: 6
pobj: 0.104348
dobj: 0.10421
pinf: 3.10862e-15
dinf: 8.12006e-06
dgap: 0.000138232
Iteration: 7
pobj: 0.104303
dobj: 0.104281
pinf: 6.21725e-15
dinf: 3.19953e-07
dgap: 2.13694e-05
Iteration: 8
pobj: 0.104297
dobj: 0.104295
pinf: 1.17684e-14
dinf: 2.46719e-08
dgap: 2.67608e-06
Iteration: 9
pobj: 0.104297
dobj: 0.104296
pinf: 2.10942e-14
dinf: 5.00253e-09
dgap: 6.11958e-07
Iteration: 10
pobj: 0.104297
dobj: 0.104297
pinf: 3.93019e-14
dinf: 6.97906e-10
dgap: 1.06644e-07
Iteration: 11
pobj: 0.104297
dobj: 0.104297
pinf: 7.54952e-14
dinf: 5.72651e-11
dgap: 1.18903e-08
Optimal solution found.
Optimal weights for porfolio of type:
Most Diversifified
GSPC RUA GDAXI FTSE N225 EEM DJCBTI GREXP BG05.L GLD
1.0085 0.3900 9.6982 0.0000 4.6582 0.0000 11.4064 65.2395 1.6210 5.9782
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