getPortfolio: Create portfolio object

In IntroCompFinR: Introduction to Computational Finance in R

Description

Create a portfolio object from expected return vector, covariance matrix, and weight vector.

Usage

getPortfolio(er, cov.mat, weights)

Arguments

er	N x 1 vector of expected returns
cov.mat	N x N return covariance matrix
weights	N x 1 vector of portfolio weights

Details

To specify a portfolio, an expected return vector and covariance matrix for the assets under consideration as well as a vector of portfolio weights are needed. The result of getPortfolio is a portfolio object, which is list with components for the portfolio expected return, portfolio standard deviation, and portfolio weights. There are print, summary and plot methods.

Value

call	captures function call
er	portfolio expected return
sd	portfolio standard deviation
weights	N x 1 vector of portfolio weights

Author(s)

Eric Zivot

Examples

# construct the data
asset.names = c("MSFT", "NORD", "SBUX")
er = c(0.0427, 0.0015, 0.0285)
names(er) = asset.names
covmat = matrix(c(0.0100, 0.0018, 0.0011,
                  0.0018, 0.0109, 0.0026,
                  0.0011, 0.0026, 0.0199),
                nrow=3, ncol=3)
r.free = 0.005
dimnames(covmat) = list(asset.names, asset.names)
er
covmat
r.free

# compute equally weighted portfolio
ew = rep(1,3)/3
equalWeight.portfolio = getPortfolio(er=er,cov.mat=covmat,weights=ew)
class(equalWeight.portfolio)
names(equalWeight.portfolio)
equalWeight.portfolio
summary(equalWeight.portfolio)
plot(equalWeight.portfolio, col="blue")

IntroCompFinR documentation built on May 2, 2019, 4:46 p.m.