optim.Weight.Return: Optimize portfolio weights given target returns and weights
Description Usage Arguments Details Value Examples
View source: R/target_weight_returns.R
Description
Optimizes portfolio weights by minimizing the variance for a given target return and weights
Usage
1 2 3 4 5 6 7 | optim.Weight.Return(
asset.names,
tgt.ret,
rf = 0,
max.wgt = 1,
period = c("months", "weeks", "quarters", "years")
)
|
Arguments
asset.names |
Vector of ticker of securities |
tgt.ret |
Target return for given funds |
rf |
Risk-free rate of return, Default: 0 |
max.wgt |
Maximum weight to be allocated for one fund/security, Default: 1 |
period |
Period for which the returns are calculated, Default: c("months", "weeks", "quarters", "years") |
Details
Minimizes the variance using the method of lagrange multiplier to calculate the portfolio weights with minimized variance for given target return and given maximum weights.
Value
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.
Examples
1 | optim.Weight.Return(c('FXAIX', 'TIBFX'), period = 'weeks', max.wgt = 0.8, tgt.ret = 0.0015)
|
