regime.portfolios: Regime Portfolios

Description

Construct a regime.portfolios object that contains a time series of regimes and portfolios corresponding to the regimes.

Usage

regime.portfolios(regime, portfolios)

Arguments

regime

xts or zoo object specifying the regime

portfolios

list of portfolios created by combine.portfolios with corresponding regimes

Value

a regime.portfolios object with the following elements

regime: An xts object of the regime
portfolio: List of portfolios corresponding to the regime

Details

Create a regime.portfolios object to support regime switching optimization. This object is then passed in as the portfolio argument in optimize.portfolio. The regime is detected and the corresponding portfolio is selected. For example, if the current regime is 1, then portfolio 1 will be selected and used in the optimization.