portfolio-Rolling: Rolling Portfolio

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Rolling Portfolio

Description

A collection and description of functions allowing to roll a portfolio optimization over time.

The functions are:

rollingWindows	Returns a list of rolling window frames,
rollingCmlPortfolio	Rolls a CML portfolio,
rollingTangencyPortfolio	Rolls a tangency portfolio,
rollingMinvariancePortfolio	Rolls a minimum risk portfolio,
rollingPortfolioFrontier	returns an efficient portfolio

Usage

rollingWindows(x, period = "12m", by = "1m")

rollingCmlPortfolio(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
rollingTangencyPortfolio(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
rollingMinvariancePortfolio(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
    
rollingPortfolioFrontier(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)

Arguments

action	a character string naming a user defined function. This function is optionally applied after each rolling step.
by	a character string, by default "1m", which denotes 1 month. The shift by which the portfolio is rolled.
constraints	a character string vector, containing the constraints of the form "minW[asset]=percentage" for box constraints resp. "maxsumW[assets]=percentage" for sector constraints.
data	a list, having a statistics named list, having named entries 'mu' and 'Sigma', containing the information of the statistics.
description	a character string, allowing for a brief project description, by default NULL, i.e. Date and User.
from, to	a vector of S4 timeDate objects which denote the starting and ending dates for the investigation.
period	a character string, by default "12m", which denotes 12 months. The period over which the portfolio is rolled.
spec	an S4 object of class fPFOLIOSPEC.
title	a character string, containing the title for the object, by default NULL.
x	an S4 object of class timeSeries from which the rolling window frames will be created. The length of these frames is given by the argument period and they are shifted by the value specified by the argument by.
...	optional arguments to be passed.

Details

RollingWindows: The function rollingWindows constructs from a 'timeSeries' object windows frames of given length period and shift by. ...

Rolling Portfolios:

The functions rolling*Portfolio ...

Rolling Frontier:

The function rollingPortfolioFrontier ...

Value

rollingwindows()
returns ...

rollingCmlPortfolio
rollingTangencyPortfolio
rollingMinvariancePortfolio
return ...

rollingPortfolioFrontier
returns ...

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on April 25, 2023, 9:11 a.m.