portReturn: Estimate return and risk of a portfolio

In stockPortfolio: Build stock models and analyze stock portfolios.

Description

Given a portfolio allocation X and a model, identify the estimated return and risk associated with X.

Usage

portReturn(model, X)

Arguments

model	An object of class "stockModel".
X	The portfolio allocation.

Value

portReturn returns a list of the following items:

R	The estimated return.
V	The estimated risk squared.
X	The allocation, which is the second argument.
ticker	The tickers from the model.
model	An object of class "stockModel", which is the same model provided to the function.

Author(s)

David Diez

See Also

stockModel

Examples

#===> basics <===#
data(stock94)
sm <- stockModel(stock94, model='SIM', index=25)
op <- optimalPort(sm)
prOp <- portReturn(sm, op$X)
prUn <- portReturn(sm, rep(1, 24)/24)
print(prOp)
summary(prOp)
summary(prUn)

#===> plotting a "portReturn" object <===#
par(mfrow=c(2,2))
plot(prOp) # provides a heat map of the allocation
plot(prUn) # a boring heat map of allocation
plot(prOp, col=2:5) # many random colors
plot(prUn, col=1) # all black

Example output

Expected Return: 0.02319844 
Risk estimate:   0.0258745 

Stock distribution, by proportion of portfolio:
      C     KEY    WFC    JPM   SO   DUK     D    HE    EIX      LUV    CAL
 0.0348 -0.0131 0.0188 0.0267 0.16 0.142 0.183 0.233 0.0968 -0.00749 0.0254
     AMR   AMGN   GILD   CELG   GENZ   BIIB    CAT      DE     HIT    IMO
 -0.0359 0.0616 0.0174 0.0066 0.0129 0.0411 0.0114 -0.0224 -0.0452 0.0804
     MRO      HES     YPF
 0.00931 -0.00381 -0.0332
Expected Return 0.02319844 
Risk estimate   0.0258745 
Expected Return 0.02523448 
Risk estimate   0.04474968 

stockPortfolio documentation built on May 29, 2017, 11:32 a.m.