portfolio-setSpec: Settings for Specifications of Portfolios

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Settings for Specifications of Portfolios

Description

Functions to set specifications for a portfolio.

Usage

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 April 25, 2023, 9:11 a.m.