PortfolioAnalysis (version 1.0.6)

optim.Weight.Return: Optimize portfolio weights given target returns and weights

Description

Optimizes portfolio weights by minimizing the variance for a given target return and weights

Usage

optim.Weight.Return(
  asset.names,
  tgt.ret,
  rf = 0,
  max.wgt = 1,
  period = c("months", "weeks", "quarters", "years")
)

Arguments

asset.names

Vector of ticker of securities

tgt.ret

Target return for given funds

rf

Risk-free rate of return, Default: 0

max.wgt

Maximum weight to be allocated for one fund/security, Default: 1

period

Period for which the returns are calculated, Default: c("months", "weeks", "quarters", "years")

Value

Returns a dataframe of the portfolios with different portfolio weights and different target returns and target standard deviation. Using this an investor can choose between range of portfolio to allocate funds.

Details

Minimizes the variance using the method of lagrange multiplier to calculate the portfolio weights with minimized variance for given target return and given maximum weights.

Examples

# NOT RUN {
optim.Weight.Return(c('FXAIX', 'TIBFX'), period = 'weeks', max.wgt = 0.8, tgt.ret = 0.0015)
# }