set.portfolio.moments: 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. Currently three methods for setting the moments are available

Usage

set.portfolio.moments(
  R,
  portfolio,
  momentargs = NULL,
  method = c("sample", "boudt", "black_litterman", "meucci"),
  ...
)

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
method	the method used to estimate portfolio moments. Valid choices include "sample", "boudt", and "black_litterman".
...	any other passthru parameters

Details

• sample: sample estimates are used for the moments

• boudt: estimate the second, third, and fourth moments using a statistical factor model based on the work of Kris Boudt. See statistical.factor.model

• black_litterman: estimate the first and second moments using the Black Litterman Formula. See black.litterman.

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