PortCdd-class: Class '"PortCdd"'

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

This class is intended to hold the results from a portfolio optimisation with a constraint on its average draw down.

Objects from the Class

Objects can be created by calls of the form new("PortCdd", ...). This class extends the "PortSol" class.

Slots

CDaR:

Numeric, the conditional draw down at risk.

thresh:

Numeric, threshold value for draw downs at the α level.

DrawDown:

timeSeries, the hsitoric portfolios draw downs.

weights:

Numeric, vector of optimal weights.

opt:

List, the result of the call to GLPK.

type:

Character, the type of the optimized portfolio.

call:

The call to the function that created the object.

Extends

Class "PortSol", directly.

Methods

No methods defined with class "PortCdd" in the signature.

Author(s)

Bernhard Pfaff

See Also

"PortSol", "PortMdd", "PortAdd"

Examples

showClass("PortCdd")

Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

Class "PortCdd" [package "FRAPO"]

Slots:
                                                                        
Name:        CDaR     thresh   DrawDown    weights        opt       type
Class:    numeric    numeric timeSeries    numeric       list  character
                 
Name:        call
Class:       call

Extends: "PortSol", "PortDD"

FRAPO documentation built on May 2, 2019, 5:24 p.m.