cma.create: Create CMA (Capital Market Assumptions)

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

This function creates a cma object.

Usage

cma.create(as_of_date = NULL, classes = list(),
  ret = vector("numeric"), yield = vector("numeric"),
  growth = vector("numeric"), risk = vector("numeric"), corr = NULL,
  cov = NULL, boxMin = 0, boxMax = 1, constraints = list(),
  constraints.names = list())

Arguments

as_of_date	Date assumptions were created. Default NULL.
classes	List of names of asset classes. Default list()
ret	Vector of returns, same length as classes. In decimal (e.g. 0.05 for five percent). Default vector("numeric").
yield	Vector of yield, same length as classes. In decimal (e.g. 0.05 for five percent). Default vector("numeric").
growth	Vector of growth, same length as classes. In decimal (e.g. 0.05 for five percent). Default vector("numeric").
risk	Vector of standard deviations, same length as classes. In decimal (e.g. 0.05 for five percent). Default vector("numeric").
corr	Correlation matrix, same length as classes. In decimal (e.g. 0.05 for five percent). Default NULL.
cov	Covariance matrix, same length as classes. In decimal (e.g. 0.05 for five percent). Default NULL. If null calculates the covariance matrix from the correlation matrix and standard deviations if both are provided.
boxMin	Vector of minimum wts per asset class. Default is 0 if classes is not empty otherwise list()
boxMax	Vector of maximum wts per asset class. Default is 1 if classes is not empty otherwise list()
constraints	List of constraints. Each constraint is a numeric vector with length equal to number of classes. The dot (scalar) product of this vector and the portfolio weights must be at least zero to satisfy the constraint. Default List().
constraints.names	List of the names of constraints. Length should match length of constraints. Default List().

Value

A list containing items related to the CMA including: as of date, classes, number of classes ret, yield, growth, risk, correlations, covariance, box min, box max and constraints.

rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.