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#' Create an equal weight portfolio
#'
#' This function calculates objective measures for an equal weight portfolio.
#'
#' @details
#' This function is simply a wrapper around \code{\link{constrained_objective}}
#' to calculate the objective measures in the given \code{portfolio} object of
#' an equal weight portfolio. The portfolio object should include all objectives
#' to be calculated.
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
#' @param portfolio an object of type "portfolio" specifying the constraints and objectives for the optimization
#' @param \dots any other passthru parameters to \code{constrained_objective}
#' @return a list containing the returns, weights, objective measures, call, and portfolio object
#' @author Ross Bennett
#' @export
equal.weight <- function(R, portfolio, ...){
# Check for portfolio object passed in
if(!is.portfolio(portfolio)) stop("portfolio object passed in must be of class 'portfolio'")
max_sum <- get_constraints(portfolio)$max_sum
# get asset information for equal weight portfolio
assets <- portfolio$assets
nassets <- length(assets)
weights <- rep(max_sum / nassets, nassets)
names(weights) <- names(assets)
# make sure the number of columns in R matches the number of assets
if(ncol(R) != nassets){
if(ncol(R) > nassets){
R <- R[, 1:nassets]
warning("number of assets is less than number of columns in returns object, subsetting returns object.")
} else {
stop("number of assets is greater than number of columns in returns object")
}
}
tmpout <- constrained_objective(w=weights, R=R, portfolio=portfolio, trace=TRUE, ...)
return(structure(list(
R=R,
weights=weights,
out=tmpout$out,
objective_measures=tmpout$objective_measures,
call=match.call(),
portfolio=portfolio),
class=c("optimize.portfolio.eqwt", "optimize.portfolio"))
)
}
###############################################################################
# R (https://r-project.org/) Numeric Methods for Optimization of Portfolios
#
# Copyright (c) 2004-2021 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################
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