minvport: Get the minimum-variance portfolio for a target expected...

Description Usage Arguments Value Examples

Description

Get the minimum-variance portfolio for a target expected return.

Usage

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minvport(er.target, ersd, cormat, aa.lb = -1e+09, aa.ub = 1e+09)

Arguments

er.target

A vector of asset-class expected returns.

ersd

A data frame with class (asset-class names), er (expected return by class), and sd (standard deviation by class)

cormat

Correlation martrix.

aa.lb

Asset allocation lower bounds

aa.ub

Asset allocation upper bounds

Value

The portfolio expected return.

Examples

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library("magrittr")
library("quadprog")
library("tidyverse")

# no restrictions on asset allocation - shorting and leverage allowed
minvport(.09, stalebrink$ersd, stalebrink$cormat)$portfolio

# shorting and leverage NOT allowed:
minvport(.09, stalebrink$ersd, stalebrink$cormat, 0, 1)$portfolio

# shorting and leverage NOT allowed, 40% upper bound on real estate:
minvport(.09, stalebrink$ersd, stalebrink$cormat, 0, c(1, 1, 1, .4, 1, 1))$portfolio

donboyd5/portopt documentation built on May 20, 2019, 2:58 p.m.