Description Usage Arguments Value Author(s) See Also
Calculate portfolio weights, variance, and mean return, given a set of returns and a constraint on overall turnover
1 2 | TurnoverOpt(returns, mu.target = NULL, w.initial,
turnover, long.only = FALSE)
|
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) |
turnover |
constraint on turnover from intial weights |
long.only |
optional long only constraint. Defaults to FALSE |
returns a list with initial weights, buys, sells, and the aggregate of all three. Also returns the portfolio's expected return and variance
James Hobbs
data(Returns) opt <- TurnoverOpt(large.cap.returns,mu.target=0.01, w.initial = rep(1/100,100),turnover=5) opt$w.total opt$port.var opt$port.mu
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