riskOptimalPortfolio: Compute risk optimal portfolios maxDD, aveDD and CDaR

In JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

Compute risk optimal portfolios maxDD, aveDD and CDaR

Description

It calls FRAPO to compute risk optimal portfolio satisfying the constraint of draw downs and returns a S4 object of class fPORTFOLIO.

Usage

riskOptimalPortfolio(data, Type="AveDD",value)

Arguments

data	timeSeries object of price data. Please remember the asset data must be price, not returns.
Type	Drawdown types, we call package FRAPO to support three methods:"maxDD","aveDD",and "CDaR". For details, please see document of package FRAPO.
value	Positive numerical number for Type.

Details

The risk optimal portfolio calls FRAPO and wrapp the results as a S4 object of class fPORTFOLIO, all get functions of fPORTFOLIO are applicable.

Value

returns an S4 object of class "fPORTFOLIO".

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Roncalli Thierry, Introduction to Risk parity and Budgeting, 2014, CRC inc..
See also packages fPORTFOLIO and FRAPO

Examples

# Risk optimal portfolio takes time, example below is commented.
#data(LPP2005,package="fPortfolio")
Data =  fPortfolio::LPP2005[,1:6]#select 6 assets price
Data.RET=timeSeries::returns(Data) # Transform into returns to compute VALUE below
#VALUE=abs(mean(drawdowns(apply(Data.RET,1,mean))))
#output=riskOptimalPortfolio(Data,Type="AveDD",value=VALUE) # data input must be price.
#show(output)
#getWeights(output)
#getCovRiskBudgets(output)

JFE documentation built on Aug. 28, 2023, 9:06 a.m.