JFE (version 2.5.5)

riskOptimalPortfolio: Compute risk optimal portfolios maxDD, aveDD and CDaR

Description

It calls FRAPO to compute risk optimal portfolio satisfying the constraint of draw downs and returns a S4 object of class fPORTFOLIO.

Usage

riskOptimalPortfolio(data, Type="AveDD",value)

Value

returns an S4 object of class "fPORTFOLIO".

Arguments

data

timeSeries object of price data. Please remember the asset data must be price, not returns.

Type

Drawdown types, we call package FRAPO to support three methods:"maxDD","aveDD",and "CDaR". For details, please see document of package FRAPO.

value

Positive numerical number for Type.

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

The risk optimal portfolio calls FRAPO and wrapp the results as a S4 object of class fPORTFOLIO, all get functions of fPORTFOLIO are applicable.

References

Roncalli Thierry, Introduction to Risk parity and Budgeting, 2014, CRC inc..
See also packages fPORTFOLIO and FRAPO

Examples

# Risk optimal portfolio takes time, example below is commented.
#data(LPP2005,package="fPortfolio")
Data =  fPortfolio::LPP2005[,1:6]#select 6 assets price
Data.RET=timeSeries::returns(Data) # Transform into returns to compute VALUE below
#VALUE=abs(mean(drawdowns(apply(Data.RET,1,mean))))
#output=riskOptimalPortfolio(Data,Type="AveDD",value=VALUE) # data input must be price.
#show(output)
#getWeights(output)
#getCovRiskBudgets(output)