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) conditional draw down at risk is minimized.
1 |
PriceData |
A rectangular array of price data. |
alpha |
Numeric, the confidence level for which the conditional draw down shall be computed. |
softBudget |
Logical, whether the budget constraint shall be implemented as a soft constraint, i.e. the sum of the weights can be less than one. The default is to use an equality constraint. |
... |
Arguments are passed down to |
This function implements a long-only portfolio optimisation for a minimum conditional draw down at risk (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"
, "PortCdd"
,
"PortDD"
, PMaxDD
,
PAveDD
, PCDaR
1 2 3 4 5 | ## Not run:
data(StockIndex)
popt <- PMinCDaR(PriceData = StockIndex, alpha = 0.95, softBudget = FALSE)
## End(Not run)
|
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