PortSol-class: Class '"PortSol"'

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

This class is intended to hold the results for the weights of an optimal portfolio. Currently, this class is used for minimum-variance and equal-risk-contributed portfolios. It can further be used to store the results of optimal factor weights according to one of the aforementioned portfolio types.

Objects from the Class

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

Slots

weights:

Numeric, vector of optimal weights.

opt:

List, the result of the call to the optimizing function.

type:

Character, the type of the optimized portfolio.

call:

The call to the function that created the object.

Methods

show

signature(object = "PortSol"): Returns the portfolio type as text with the optimal weights from the object.

Solution

signature(object = "PortSol"): Returns the list object of the optimizer, i.e. the slot opt from the object.

Weights

signature(object = "PortSol"): Returns the list object of the optimizer, i.e. the slot weights from the object.

update

signature(object = "PortSol"): updates object by calling the issuing function with altered arguments.

Author(s)

Bernhard Pfaff

Examples

showClass("PortSol")

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