R/portfolio_returns.R

In pawel-wieczynski/PolishStock: Analysis of WSE stocks and other assets.

#' Calculate Portfolio Returns function
#'
#' Calculate log-returns of given asset prices, then multiply by vector of portfolio weights.
#' @param prices Data frame of asset prices
#' @param weights Numeric vector of portfolio weights
#'
#' @return Numeric vector of portfolio log-returns.
#' @export
#'
#' @examples
#' files <- list.files('datasets\\')
#' close_prices <- df_prices(files = files
#'                           ,source = 'datasets\\')
#' weights <- c(0.40, 0.40, 0.20)
#' portfolio_returns(close_prices, weights)

portfolio_returns <- function(prices
                              ,weights){

  returns <- as.data.frame(
    sapply(
      as.data.frame(
        sapply(dplyr::select(prices, where(is.numeric))
               ,log))
      ,diff
    )
  )

  if(dim(as.matrix(returns))[2] != length(weights)) {
    stop('Incorrect dimensions of prices and weights')
  }

  result <- as.numeric(
    as.matrix(returns) %*% weights
  )

  return(result)

}