This class is intended to hold the results from a portfolio optimisation with a constraint on its average draw down.
Objects can be created by calls of the form
...). This class extends the
Numeric, the conditional draw down at risk.
Numeric, threshold value for draw downs at the α level.
timeSeries, the hsitoric portfolios draw downs.
Numeric, vector of optimal weights.
List, the result of the call to GLPK.
Character, the type of the optimized portfolio.
The call to the function that created the object.
No methods defined with class "PortCdd" in the signature.
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) Class "PortCdd" [package "FRAPO"] Slots: Name: CDaR thresh DrawDown weights opt type Class: numeric numeric timeSeries numeric list character Name: call Class: call Extends: "PortSol", "PortDD"
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