opt.outputMvo: Optimal Portfolio Weights and Performance Values

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Optimal Portfolio Weights and Performance Values

Description

Converts output of 'optimize.portfolio' to a list of the portfolio weights, mean, volatility and Sharpe Ratio.

Usage

opt.outputMvo(
  opt,
  returns,
  digits = NULL,
  annualize = TRUE,
  frequency = "monthly",
  rf = 0
)

Arguments

opt	List output of 'optimize.portfolio'
returns	Multivariate xts object of portfolio assets returns
digits	Integer number of significant digits with default NULL
annualize	Logical with default TRUE
frequency	Returns frequency: "monthly", "weekly" or "daily"
rf	Numeric value with default 0.0

Details

This function uses the weights returned by optimize.portfolio, along with the portfolio assets returns, and a risk-free rate, to to compute the portfolio mean return, volatility, and Sharpe Ratio.

Value

A list containing the portfolio numeric weights, mean value, volatility and Sharpe Ratio.

Author(s)

R. Douglas Martin

Examples

args(opt.outputMvo)

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.