Class "parmaPort"

Description

The parma optimal portfolio class.

Objects from the Class

Objects can be created by calls to parmasolve..

Slots

solution:

Object of class "vector" The list with the optimal values.

model:

Object of class "vector" A list with details of the risk model.

Methods

show

signature(object = "parmaPort"): Summary.

weights

signature(object = "parmaPort"): Extracts the optimal weights.

tictoc

signature(object = "parmaPort"): Extracts the time elapsed to solve the problem.

checkarbitrage

signature(object = "parmaPort"): Extracts the arbitrage check on the scenario.

parmarisk

signature(object = "parmaPort"): Extracts the expected risk of the optimized portfolio.

parmareward

signature(object = "parmaPort"): Extracts the expected reward of the optimized portfolio.

parmastatus

signature(object = "parmaPort"): Solver termination code for the LP and NLP solvers.

Author(s)

Alexios Ghalanos

Examples

1
showClass("parmaPort")