portfolio.moments.boudt: Portfolio Moments

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

Portfolio Moments

Description

Set portfolio moments for use by lower level optimization functions using a statistical factor model based on the work of Kris Boudt.

Usage

portfolio.moments.boudt(R, portfolio, momentargs = NULL, k = 1, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
portfolio	an object of type portfolio specifying the constraints and objectives for the optimization, see portfolio.spec
momentargs	list containing arguments to be passed down to lower level functions, default NULL
k	number of factors used for fitting statistical factor model
...	any other passthru parameters

Note

If any of the objectives in the portfolio object have clean as an argument, the cleaned returns are used to fit the model.

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