portfolio.spec: constructor for class portfolio

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

The portfolio object is created with portfolio.spec. The portfolio object is an S3 object of class 'portfolio' used to hold the initial asset weights, constraints, objectives, and other information about the portfolio. The only required argument to portfolio.spec is assets.

Usage

portfolio.spec(assets = NULL, category_labels = NULL, weight_seq = NULL,
  message = FALSE)

Arguments

assets	number of assets, or optionally a named vector of assets specifying seed weights. If seed weights are not specified, an equal weight portfolio will be assumed.
category_labels	character vector to categorize assets by sector, industry, geography, market-cap, currency, etc. Default NULL
weight_seq	seed sequence of weights, see generatesequence Default NULL
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.

Details

The portfolio object contains the following elements:

• assets named vector of the seed weights

• category_labels character vector to categorize the assets by sector, geography, etc.

• weight_seq sequence of weights used by random_portfolios. See generatesequence

• constraints a list of constraints added to the portfolio object with add.constraint

• objectives a list of objectives added to the portfolio object with add.objective

• call the call to portfolio.spec with all of the specified arguments

Value

an object of class portfolio

Author(s)

Ross Bennett, Brian G. Peterson

See Also

add.constraint, add.objective, optimize.portfolio

Examples

data(edhec)
pspec <- portfolio.spec(assets=colnames(edhec))
pspec <- portfolio.spec(assets=10, weight_seq=generatesequence())

Example output

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: xts
Loading required package: foreach
Loading required package: PerformanceAnalytics

Attaching package: 'PerformanceAnalytics'

The following object is masked from 'package:graphics':

    legend

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.