underweight.segments: Underweight Active Investment Segment Exposures
In rportfolios: Random Portfolio Generation

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

This function underweight the investment exposures of the given portfolios in the given active investment segments by the proportion x_u of the total exposure in the active segment.

1	underweight.segments(portfolios, segments, x.u)

`portfolios`	A numeric vector or matrix for the portfolio investment exposures
`segments`	A vector or list of vectors that define the active investment segment
`x.u`	A positive real value for the proportion of total active exposure allocated to the passive investment exposures

if x_u = 0, then the original portfolios are returned. If x_u = 1, then the total exposure of the active segment is allocated to the passive investment segment of all the portfolios. The private function vector.underweight.segments i performs the actual work and returns a vector. If portfolios is a matrix of investment weights, then the apply function is used with the 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 )
underweight.segments( onePortfolio, I[[1]], 0 )
underweight.segments( onePortfolio, I[[1]], .1 )