portfolio-setSpec: Settings for Specifications of Portfolios

Description Usage Arguments Details Value References

Description

Functions to set specifications for a portfolio.

Usage

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setType(spec) <- value
setOptimize(spec) <- value
setEstimator(spec) <- value
setTailRisk(spec) <- value
setParams(spec, name) <- value
setAlpha(spec) <- value

setWeights(spec) <- value
setTargetReturn(spec) <- value
setTargetRisk(spec) <- value
setRiskFreeRate(spec) <- value
setNFrontierPoints(spec) <- value
setStatus(spec) <- value

setSolver(spec) <- value
setObjective(spec) <- value
setTrace(spec) <- value

Arguments

spec

an S4 object of class fPFOLIOSPEC, the specification to be modified, by default the default of the function portfolioSpec().

name

a character string, the name of the value to be set.

value

a value for that component of spec to be set.

Details

setType Sets type of portfolio optimization,
setOptimize Sets what to optimize, min risk or max return,
setEstimator Sets names of mean and covariance estimators,
setParams Sets optional model parameters,
setWeights Sets weights vector,
setTargetReturn Sets target return value,
setTargetRisk Sets target risk value,
setTargetAlpha Sets CVaR target alpha value,
setRiskFreeRate Sets risk-free rate value,
setNFrontierPoints Sets number of frontier points,
setStatus Sets status value,
setSolver Sets the type of solver to be used,
setObjective Sets objective function name to be used,
setTrace Sets the logical trace flag.

Value

setType
setOptimize
setEstimator
setParam

Model Settings: just modify the model settings including the portfolio type, the mean/covariance estimator, and optional parameters of an existing portfolio structure.

setWeights
setTargetReturn
setTargetRisk
setTargetAlpha
setRiskFreeRate
setNFrontierPoints
setStatus

Portfolio Settings: just modify the portfolio settings including predefined weights, the target return, the risk free rate, the number of frontier points, and the return and risk range of an existing portfolio structure.

setSolver
setObjective
setTrace

Optim Settings: just modifies the solver setting, i.e. the type of solver to be used for portfolio optimization.

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 Nov. 17, 2017, 5:55 a.m.