set.portfolio.moments | R Documentation |
Set portfolio moments for use by lower level optimization functions. Currently three methods for setting the moments are available
set.portfolio.moments(
R,
portfolio,
momentargs = NULL,
method = c("sample", "boudt", "black_litterman", "meucci"),
...
)
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 |
momentargs |
list containing arguments to be passed down to lower level functions, default NULL |
method |
the method used to estimate portfolio moments. Valid choices include "sample", "boudt", and "black_litterman". |
... |
any other passthru parameters |
sample estimates are used for the moments
estimate the second, third, and fourth moments using a statistical factor model based on the work of Kris Boudt.
See statistical.factor.model
estimate the first and second moments using the
Black Litterman Formula. See black.litterman
.
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