PMSOLVER-class: Class: PMSOLVER

In pmoments: Partial Moments

Description

Partial Moments Solver Class

Objects from the Class

Objects are usually created by calls to the function pmSolver.

Slots

weights:

Solver Weights Matrix

riskMeasure:

Solver Risk Measure

rewardMeasure:

Solver Reward Measure

riskAversion:

Risk Aversion Coefficient

riskFree:

Risk Free Rate

tangent:

Tangency Point in Frontier Solution

moment:

Partial Moment

solverMessage:

Solver Convergence Message

solver:

Type of Solver (Quadratic only)

solverType:

Type of solver I-IV

assetnames:

Asset Names

Extends

Class "PartialMoments", directly.

Methods

lines

signature(x = "PMSOLVER"): Lines method

plot

signature(x = "PMSOLVER", y = "missing"): Plots method

show

signature(object = "PMSOLVER"): Show method

weightsPlot

signature(object = "PMSOLVER"): Frontier Weights Plot Method

weightsPie

signature(object = "PMSOLVER"): Single Point Weights Pie Chart Method

Note

The plot method is only valid for frontier plots. Use the weightsPie instead for single point optimzation (type dQuoteI,dQuoteII and dQuoteIII).

Author(s)

Alexios Ghalanos

References

Nawrocki, David N. (1991), Optimal algorithms and lower partial moment: ex post results, Applied Economics, 23 (3), 465—70.

Examples

showClass("PMSOLVER")

pmoments documentation built on May 2, 2019, 4:42 p.m.