opt.outputMeanVol: opt.outputMeanVol

In kecoli/mpo: Companion to Modern Portfolio Optimization with R, 2nd Edition

Usage

opt.outputMeanVol(opt, returns, digits = NULL, names = NULL)

Arguments

opt
returns
digits
names

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (opt, returns, digits = NULL, names = NULL) 
{
    wts = opt$weights
    sigmasq = as.numeric(t(wts) %*% var(returns) %*% wts)
    sigma = sqrt(sigmasq)
    mu.ret = apply(returns, 2, mean)
    mu = as.numeric(t(wts) %*% mu.ret)
    if (is.null(digits)) {
        names(sigma) = "sigma"
        names(mu) = "mu"
        output = c(wts, mu, sigma)
    }
    else {
        if (is.null(names)) {
            output = list(wts = wts, mean = mu, vol = sigma)
            output = lapply(output, round, digits)
        }
        else {
            output = list(wts, mu, sigma)
            names(output) = names
            output = lapply(output, round, digits)
        }
    }
    output
  }

kecoli/mpo documentation built on May 20, 2019, 8:34 a.m.