PortMdd-class: Class '"PortMdd"'

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

This class is intended to hold the results from a portfolio optimisation with a constraint on its maximum draw down.

Objects from the Class

Objects can be created by calls of the form new("PortMdd", ...). This class extends the "PortSol" class.

Slots

MaxDD:

Numeric, the maximum draw down.

DrawDown:

timeSeries, the hsitoric portfolio's draw downs.

weights:

Numeric, vector of optimal weights.

opt:

List, the result of the call to GLPK.

type:

Character, the type of the optimized portfolio.

call:

The call to the function that created the object.

Extends

Class "PortSol", directly.

Methods

No methods defined with class "PortMdd" in the signature.

Author(s)

Bernhard Pfaff

See Also

"PortSol", "PortAdd", "PortCdd"

Examples

showClass("PortMdd")

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