opt.outputMvoPCRA: Optimal Portfolio Weights and Performance

Description

Converts output of PortfolioAnalytics function optimize.portfolio, which computes a minimum variance portfolio, to a list containing the portfolio weights vector, mean, volatility and Sharpe Ratio.

Converts output of `optimize.portfolio` to a list of the portfolio weights, mean, volatility and Sharpe Ratio.

Usage

opt.outputMvoPCRA(
  opt,
  returns,
  digits = NULL,
  itemNames = NULL,
  annualize = TRUE,
  frequency = "monthly",
  rf = 0
)

Value

A list containing the portfolio numeric weights, mean value, standard deviation and Sharpe Ratio, with default names Wgts, Mean, StdDev, and SR, or user-supplied names as a character vector value for the argument `itemNames`.

Arguments

opt: List output of `optimize.portfolio`
returns: Multivariate xts object of portfolio assets returns
digits: Integer number of significant digits with default NULL
itemNames: character vector of use-supplied names for portfolio weights, mean, standard deviation and Sharpe Ratio
annualize: Logical with default TRUE
frequency: Returns frequency: "monthly", "weekly" or "daily", with default "monthly"
rf: Numeric value of risk-free rate with default 0.0

Author

R. Douglas Martin

Details

This function uses the weights returned by optimize.portfolio, along with the portfolio monthly, weekly or daily assets returns, and a risk-free rate, to compute the portfolio mean return, volatility, and Sharpe Ratio. By default the latter three are annualized, but the user may choose to return non-annualized performance values.

Examples

Run this code

args(opt.outputMvoPCRA)

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