overweight.segments: Overweight Active Investment Segment Exposures
In rportfolios: Random Portfolio Generation

Description Usage Arguments Details Value Author(s) References See Also Examples

This function overweights the investment exposures of the given portfolios in the given investment segments by the proportion x_o of the total exposure in the segment complement.

1	overweight.segments(portfolios, segments, x.o)

`portfolios`	A vector or matrix that defines the portfolios
`segments`	A vector or list of vectors that defines the investment segments
`x.o`	A positive real value for the proportion of total passive exposure allocated to the active exposures

if x_o = 0, then the original portfolios are returned. If x_o = 1, then the total exposure of the segment complement, or passive segment, is allocated to the active investment segment of all the portfolios. The private function vector.overweight.segments does the actual work. If the argument portfolios is a matrix, then the apply function is used with private function to obtain a matrix of weights. The transpose of this matrix is returned.

A vector of adjusted investment exposures for one portfolio or a matrix for more than one portfolio.

Frederick Novomestky fn334@nyu.edu

Grinold, R. C. and R. H. Kahn, 1999. Active Portfolio Management: Quantitative Approach for Providing Superior Returns and Controlling Risk, Second Edition, McGraw-Hill, New York, NY.

segment.complement

onePortfolio <- random.longonly( 10 )
I <- list()
I[[1]] <- c( 1, 2, 3 )
I[[2]] <- c( 4, 5 )
I[[3]] <- c( 6, 7 )
I[[4]] <- c( 8, 9, 10 )
overweight.segments( onePortfolio, I[[1]], 0 )
overweight.segments( onePortfolio, I[[1]], .1 )