fPortfolio (version 2130.80)

feasiblePortfolio: Feasible Portfolios

Description

Returns properties of a feasible portfolio.

Usage

feasiblePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")

Arguments

constraints

a character string vector, containing the constraints of the form "minW[asset]=percentage" for box constraints resp. "maxsumW[assets]=percentage" for sector constraints.

data

a multivariate time series described by an S4 object of class timeSeries. If your timeSerie is not a timeSeries object, consult the generic function as.timeSeries to convert your time series.

spec

an S4 object of class fPFOLIOSPEC as returned by the function portfolioSpec.

Value

• feasiblePortfolio function returns an S4 object of class "fPORTFOLIO".

Details

A feasible portfolio is a portfolio with given weights which lies inside the feasible region of portfolios. The function requires three arguments: data, spec (specifications), and constraints, see above. Be sure that the specification structure "spec" has defined a weights vector which is different from "NULL". To assign values to the weights in the specification structure, use the function setWeights. The feasiblePortfolio function returns the properties of the feasible portfolio as an S4 object of class fPORTFOLIO.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

## data -
   Data = SMALLCAP.RET
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
   Data
   
## spec - 
   Spec = portfolioSpec()
   setWeights(Spec) = rep(0.25, times = 4)
   Spec
   
## constraints -
   Constraints = "LongOnly"
   Constraints
   
## feasiblePortfolio - 
   feasiblePortfolio(Data, Spec, Constraints)