new_MeanVar_portfolio: A constructor for class MeanVar_portfolio

In HDShOP: High-Dimensional Shrinkage Optimal Portfolios

A constructor for class MeanVar_portfolio

Description

A light-weight constructor of objects of S3 class MeanVar_portfolio. This function is for development purposes. A helper function equipped with error messages and allowing more flexible input is MeanVar_portfolio.

Usage

new_MeanVar_portfolio(mean_vec, cov_mtrx, gamma)

Arguments

mean_vec	mean vector of asset returns
cov_mtrx	the covariance matrix of asset returns
gamma	a numeric variable. Coefficient of risk aversion.

Value

Mean-variance portfolio in the form of object of S3 class MeanVar_portfolio.

Examples

n<-3e2 # number of realizations
p<-.5*n # number of assets
gamma<-1

x <- matrix(data = rnorm(n*p), nrow = p, ncol = n)

# Simple MV portfolio
cov_mtrx <- Sigma_sample_estimator(x)
means <- rowMeans(x)

cust_port_simp <- new_MeanVar_portfolio(mean_vec=means, cov_mtrx=cov_mtrx, gamma=2)
str(cust_port_simp)

# Portfolio with Bayes-Stein shrunk means
# and a Ledoit and Wolf estimator for covariance matrix
TM <- matrix(0, p, p)
diag(TM) <- 1
cov_mtrx <- CovarEstim(x, type="LW20", TM=TM)
means <- rowMeans(x)

cust_port_BS_LW <- new_MeanVar_portfolio(mean_vec=means, cov_mtrx=cov_mtrx, gamma=2)
str(cust_port_BS_LW)

HDShOP documentation built on Nov. 10, 2022, 5:12 p.m.