Description Usage Arguments Details Value Author(s) See Also Examples
The portfolio object is created with
portfolio.spec
. The portfolio object is an S3
object of class 'portfolio' used to hold the initial
asset weights, constraints, objectives, and other
information about the portfolio. The only required
argument to portfolio.spec
is assets
.
1 2 |
assets |
number of assets, or optionally a named vector of assets specifying seed weights. If seed weights are not specified, an equal weight portfolio will be assumed. |
category_labels |
character vector to categorize assets by sector, industry, geography, market-cap, currency, etc. Default NULL |
weight_seq |
seed sequence of weights, see
|
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
The portfolio object contains the following elements:
assets
named vector of the seed
weights
category_labels
character vector
to categorize the assets by sector, geography, etc.
weight_seq
sequence of weights used by
random_portfolios
. See
generatesequence
constraints
a list of constraints added to
the portfolio object with add.constraint
objectives
a list of objectives added to
the portfolio object with add.objective
call
the call to portfolio.spec
with all of the specified arguments
an object of class portfolio
Ross Bennett, Brian G. Peterson
add.constraint
,
add.objective
,
optimize.portfolio
1 2 3 | data(edhec)
pspec <- portfolio.spec(assets=colnames(edhec))
pspec <- portfolio.spec(assets=10, weight_seq=generatesequence())
|
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