optim.Weight.Return

0th

Percentile

Optimize portfolio weights given target returns and weights

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")

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.

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.

Aliases
  • optim.Weight.Return
Examples
# NOT RUN {
optim.Weight.Return(c('FXAIX', 'TIBFX'), period = 'weeks', max.wgt = 0.8, tgt.ret = 0.0015)
# }
Documentation reproduced from package PortfolioAnalysis, version 1.0.6, License: GPL-3

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