regime.portfolios: Regime Portfolios

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

Description

Construct a regime.portfolios object that contains a time series of regimes and portfolios corresponding to the regimes.

Usage

regime.portfolios(regime, portfolios)

Arguments

regime	xts or zoo object specifying the regime
portfolios	list of portfolios created by combine.portfolios with corresponding regimes

Details

Create a regime.portfolios object to support regime switching optimization. This object is then passed in as the portfolio argument in optimize.portfolio. The regime is detected and the corresponding portfolio is selected. For example, if the current regime is 1, then portfolio 1 will be selected and used in the optimization.

Value

a regime.portfolios object with the following elements

• regime: An xts object of the regime

• portfolio: List of portfolios corresponding to the regime

Author(s)

Ross Bennett

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