ProportionalCostOpt: Proportional cost portfolio optimization

Description Usage Arguments Value Author(s) See Also

Description

Calculate portfolio weights, variance, and mean return, given a set of returns and a value for proportional transaction costs

Usage

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  ProportionalCostOpt(returns, mu.target, w.initial, tc,
    long.only = FALSE)

Arguments

returns

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

mu.target

target portfolio return

w.initial

initial vector of portfolio weights. Length of the vector must be equal to ncol(returns)

tc

proportional transaction cost

long.only

optional long only constraint. Defaults to FALSE

Value

returns a list with initial weights, buys, sells, and the aggregate of all three. Also returns the portfolio's expected return and variance

Author(s)

James Hobbs

See Also

TurnoverFrontier

solve.QP

data(Returns) opt <- ProportionalCostOpt(large.cap.returns,mu.target=0.004, w.initial = rep(1/100,100),tc=.01) opt$w.total opt$port.var opt$port.mu


R-Finance/MPO documentation built on May 8, 2019, 3:52 a.m.