InvestmentPortfolio: Construct Portfolio

In RMOPI: Risk Management and Optimization for Portfolio Investment

Construct Portfolio

Description

Construct four types portfolio with specificition and constraints.

Usage

InvestmentPortfolio(data, method, spec, constraints = "LongOnly")

Arguments

data	multivariate returns, must be "timeSeries" type
method	porofolio type, one of "fea", "minrisk", "globalminrisk" and "sharp"
spec	specificition of portfolio
constraints	constraints of trade

Value

A portfolio

References

Markowitz H. 1952. "Portfolio Selection", The Journal of Finance, 7(1), 77–91. doi: 10.2307/2975974.

Examples

library(fPortfolio)
names <- c("swan", "bear", "tiger")
date <- as.Date("2015-01-01") + days(0:179)
mu <- c(0.2, 0.08, 0.1)
sigma <- matrix(c(1, 0.25, -0.3, 0.25, 0.25, 0, -0.3, 0, 0.36), 3, 3)
allret <- rMvReturnSim(names, date, mu, sigma)
tsret <- as.timeSeries(allret)
feaSpec <- portfolioSpec()
setWeights(feaSpec) <- rep(1 / 3, times = 3)
InvestmentPortfolio(tsret, "fea", feaSpec)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.