portfolio-getSpec: Portfolio Specification Extractor Functions

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Portfolio Specification Extractor Functions

Description

Extracts information from an object of class fPFOLIOSPEC.

Usage

## S3 method for class 'fPFOLIOSPEC'
getModel(object)
## S3 method for class 'fPFOLIOSPEC'
getType(object)
## S3 method for class 'fPFOLIOSPEC'
getOptimize(object)
## S3 method for class 'fPFOLIOSPEC'
getEstimator(object)
## S3 method for class 'fPFOLIOSPEC'
getTailRisk(object)
## S3 method for class 'fPFOLIOSPEC'
getParams(object)

## S3 method for class 'fPFOLIOSPEC'
getPortfolio(object)
## S3 method for class 'fPFOLIOSPEC'
getWeights(object)
## S3 method for class 'fPFOLIOSPEC'
getTargetReturn(object)
## S3 method for class 'fPFOLIOSPEC'
getTargetRisk(object)
## S3 method for class 'fPFOLIOSPEC'
getAlpha(object)
## S3 method for class 'fPFOLIOSPEC'
getRiskFreeRate(object)
## S3 method for class 'fPFOLIOSPEC'
getNFrontierPoints(object)
## S3 method for class 'fPFOLIOSPEC'
getStatus(object)

## S3 method for class 'fPFOLIOSPEC'
getOptim(object)
## S3 method for class 'fPFOLIOSPEC'
getSolver(object)
## S3 method for class 'fPFOLIOSPEC'
getObjective(object)
## S3 method for class 'fPFOLIOSPEC'
getOptions(object)
## S3 method for class 'fPFOLIOSPEC'
getControl(object)
## S3 method for class 'fPFOLIOSPEC'
getTrace(object)

## S3 method for class 'fPFOLIOSPEC'
getMessages(object)

Arguments

object

an object of class fPFOLIOSPEC.

Details

getType	Extracts portfolio type from specification,
getOptimize	Extracts what to optimize from specification,
getEstimator	Extracts type of covariance estimator,
getTailRisk	Extracts list of tail dependency risk matrixes,
getParams	Extracts parameters from specification,
getWeights	Extracts weights from a portfolio object,
getTargetReturn	Extracts target return from specification,
getTargetRisk	Extracts target riks from specification,
getAlpha	Extracts target VaR-alpha specification,
getRiskFreeRate	Extracts risk free rate from specification,
getNFrontierPoints	Extracts number of frontier points,
getStatus	Extracts the status of optimization,
getSolver	Extracts solver from specification,
getobjective	Extracts name of objective function,
getTrace	Extracts solver's trace flag.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on Jan. 14, 2024, 8:21 p.m.