Description Usage Arguments Details Value Examples
View source: R/target_return.R
Optimizes portfolio weights by minimizing the variance for a given target return
1 2 3 4 5 6 7 | optim.TargetReturn(
asset.names,
increment = 100,
rf = 0,
tgt.ret,
period = c("months", "weeks", "quarters", "years")
)
|
asset.names |
Vector of ticker of securities |
increment |
Number of portfolio to be generated, Default: 100 |
rf |
Risk-free rate of return, Default: 0 |
tgt.ret |
Target return for given funds |
period |
Period for which the returns are calculated, Default: c("months", "weeks", "quarters", "years") |
Minimizes the variance using the method of lagrange multiplier to calculate the portfolio weights with minimized variance for given target return.
Returns a dataframe of the portfolios with different portfolio weights and different target returns and target standard deviation. Using this an investor can choose between range of portfolio to allocate funds.
1 | optim.TargetReturn(c('FXAIX', 'TIBFX'), period = 'weeks', tgt.ret = 0.0021)
|
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