portfolio-getSpec: Portfolio Specification Extractor Functions

Description Usage Arguments Details References

Description

Extracts information from an object of class fPFOLIOSPEC.

Usage

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## S3 method for class 'fPFOLIOSPEC'
getModel(object)
## S3 method for class 'fPFOLIOSPEC'
getType(object)
## S3 method for class 'fPFOLIOSPEC'
getOptimize(object)
## S3 method for class 'fPFOLIOSPEC'
getEstimator(object)
## S3 method for class 'fPFOLIOSPEC'
getTailRisk(object)
## S3 method for class 'fPFOLIOSPEC'
getParams(object)

## S3 method for class 'fPFOLIOSPEC'
getPortfolio(object)
## S3 method for class 'fPFOLIOSPEC'
getWeights(object)
## S3 method for class 'fPFOLIOSPEC'
getTargetReturn(object)
## S3 method for class 'fPFOLIOSPEC'
getTargetRisk(object)
## S3 method for class 'fPFOLIOSPEC'
getAlpha(object)
## S3 method for class 'fPFOLIOSPEC'
getRiskFreeRate(object)
## S3 method for class 'fPFOLIOSPEC'
getNFrontierPoints(object)
## S3 method for class 'fPFOLIOSPEC'
getStatus(object)

## S3 method for class 'fPFOLIOSPEC'
getOptim(object)
## S3 method for class 'fPFOLIOSPEC'
getSolver(object)
## S3 method for class 'fPFOLIOSPEC'
getObjective(object)
## S3 method for class 'fPFOLIOSPEC'
getOptions(object)
## S3 method for class 'fPFOLIOSPEC'
getControl(object)
## S3 method for class 'fPFOLIOSPEC'
getTrace(object)

## S3 method for class 'fPFOLIOSPEC'
getMessages(object)

Arguments

object

an object of class fPFOLIOSPEC.

Details

getType Extracts portfolio type from specification,
getOptimize Extracts what to optimize from specification,
getEstimator Extracts type of covariance estimator,
getTailRisk Extracts list of tail dependency risk matrixes,
getParams Extracts parameters from specification,
getWeights Extracts weights from a portfolio object,
getTargetReturn Extracts target return from specification,
getTargetRisk Extracts target riks from specification,
getAlpha Extracts target VaR-alpha specification,
getRiskFreeRate Extracts risk free rate from specification,
getNFrontierPoints Extracts number of frontier points,
getStatus Extracts the status of optimization,
getSolver Extracts solver from specification,
getobjective Extracts name of objective function,
getTrace Extracts solver's trace flag.

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 March 26, 2020, 9:17 p.m.