PMTD: Minimum Tail Dependent Portfolio

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

This function computes the solution of a minimum tail dependent portfolio (long-only).

Usage

PMTD(Returns, method = c("EmpTC", "EVT"), k = NULL, percentage = TRUE,
     optctrl = ctrl(),...)

Arguments

Returns	A rectangular array of return data.
method	Character, the type of non-parametric estimation.
k	Integer, the threshold value for the order statistic. If left NULL, then k = sqrt(nrow(x)) is used.
percentage	Logical, whether the weights shall be returned as decimals or percentages (default).
optctrl	Object of class Rcpp_CTRL.
...	Arguments are passed down to rank.

Details

Akin to the optimisation of a global minimum-variance portfolio, the minimum tail dependennt portfolio is determined by replacing the variance-covariance matrix with the matrix of the lower tail dependence coefficients as returned by tdc.

Value

An object of formal class "PortSol".

Note

The optimisation is conducted by calling cccp().

Author(s)

Bernhard Pfaff

See Also

tdc, "PortSol"

Examples

data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
PMTD(Rets)

Example output

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: 0.571883
dobj: -0.49252
pinf: 0
dinf: 3.05247
dgap: 1.0644

Iteration: 1
pobj: 0.570275
dobj: 0.472065
pinf: 1.3947e-16
dinf: 0.280309
dgap: 0.0982096

Iteration: 2
pobj: 0.567879
dobj: 0.551695
pinf: 7.34344e-17
dinf: 0.0393641
dgap: 0.0161841

Iteration: 3
pobj: 0.56744
dobj: 0.565466
pinf: 6.3596e-17
dinf: 0.00342768
dgap: 0.00197472

Iteration: 4
pobj: 0.56741
dobj: 0.567224
pinf: 3.92523e-17
dinf: 0.000241732
dgap: 0.000186047

Iteration: 5
pobj: 0.56741
dobj: 0.567399
pinf: 8.44153e-17
dinf: 1.27771e-05
dgap: 1.07084e-05

Iteration: 6
pobj: 0.56741
dobj: 0.567409
pinf: 3.92523e-17
dinf: 6.41115e-07
dgap: 5.40576e-07

Iteration: 7
pobj: 0.56741
dobj: 0.56741
pinf: 8.88612e-17
dinf: 3.20615e-08
dgap: 2.7042e-08

Optimal solution found.


Optimal weights for porfolio of type:
Minimum Tail Dependent

  SP500    N225 FTSE100   CAC40    GDAX     HSI 
17.9566 26.8682 19.9236  8.4298  7.7707 19.0511 

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