RMOPI (version 1.1)

InvestmentPortfolio: Construct Portfolio

Description

Construct four types portfolio with specificition and constraints.

Usage

InvestmentPortfolio(data, method, spec, constraints = "LongOnly")

Value

A portfolio

Arguments

data

multivariate returns, must be "timeSeries" type

method

porofolio type, one of "fea", "minrisk", "globalminrisk" and "sharp"

spec

specificition of portfolio

constraints

constraints of trade

References

Markowitz H. 1952. "Portfolio Selection", The Journal of Finance, 7(1), 77–91. doi: 10.2307/2975974.

Examples

library(fPortfolio)
names <- c("swan", "bear", "tiger")
date <- as.Date("2015-01-01") + days(0:179)
mu <- c(0.2, 0.08, 0.1)
sigma <- matrix(c(1, 0.25, -0.3, 0.25, 0.25, 0, -0.3, 0, 0.36), 3, 3)
allret <- rMvReturnSim(names, date, mu, sigma)
tsret <- as.timeSeries(allret)
feaSpec <- portfolioSpec()
setWeights(feaSpec) <- rep(1 / 3, times = 3)
InvestmentPortfolio(tsret, "fea", feaSpec)