fPortfolio (version 260.72)

RollingPortfolio: Rolling Portfolio

Description

A collection and description of functions allowing to roll a portfolio optimization over time. The functions are: ll{ rollingWindows Returns a list of rolling window frames, rollingCmlPortfolio Rolls a CML portfolio, rollingTangencyPortfolio Rolls a tangency portfolio, rollingMinvariancePortfolio Rolls a minimum risk portfolio, rollingPortfolioFrontier returns an efficient portfolio, portfolioBacktesting Does portfolio backtesting. }

Usage

rollingWindows(x, period = "12m", by = "1m")
rollingCmlPortfolio(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
rollingTangencyPortfolio(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
rollingMinvariancePortfolio(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
    
rollingPortfolioFrontier(data, spec, constraints, from, to, action = NULL, 
    title = NULL, description = NULL, ...)
   
portfolioBacktesting(formula, data, spec = portfolioSpec(), constraints = NULL, 
    portfolio = "minvariancePortfolio", horizon = "12m", smoothing = "6m", 
    trace = TRUE)

Arguments

action

[*Portfolio][*Frontier] - a character string naming a user defined function. This function is optionally applied after each rolling step.

by

[rollingWindows] - a character string, by default "1m", which denotes 1 month. The shift by which the portfolio is rolled.

constraints

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

data

[*Portfolio][*Frontier] - a list, having a statistics named list, having named entries 'mu' and 'Sigma', containing the information of the statistics. [*Backtesting] -

description

[*Portfolio][*Frontier] - a character string, allowing for a brief project description, by default NULL, i.e. Date and User.

formula

[*Backtesting] - a formula describing the benchmark and assets used for backtesting in the form backtest ~ assetA + ... + assetZ. Here, backtest and asset* are column names of the data<

from, to

[*Portfolio][*Frontier] - a vector of S4 timeDate objects which denote the starting and ending dates for the investigation.

horizon

[*Backtesting] - a character string, by default "12m", which denotes 12 months. The period over which the portfolio is rolled.

period

[rollingWindows] - a character string, by default "12m", which denotes 12 months. The period over which the portfolio is rolled.

portfolio

[portfolioBacktesting] - a character string, the function name of a user defined portfolio function, which defines the rolling portfolio strategy.

smoothing

[portfolioBacktesting] - a character string, by default "6m", which denotes 6 months. The period over which the rolling weights are smoothed by an exponential moving average.

spec

[*Portfolio][*Frontier] - an S4 object of class fPFOLIOSPEC, containing slots call, model, portfolio, title, description, see PortfolioSpec for a full slot desc

title

[*Portfolio][*Frontier] - a character string, containing the title for the object, by default NULL.

trace

[portfolioBacktesting][*OptimalPortfolio] - a logical value. Should the calculataion be traced?

x

[rollingWindows] - an S4 object of class timeSeries from which the rolling window frames will be created. The length of these frames is given by the argument period and they are shifted by the value speci

...

optional arguments to be passed.

Value

• rollingwindows() returns ... rollingCmlPortfolio rollingTangencyPortfolio rollingMinvariancePortfolio return ... rollingPortfolioFrontier returns ... portfolioBacktesting returns ...

Details

RollingWindows: The function rollingWindows constructs from a 'timeSeries' object windows frames of given length period and shift by. ... Rolling Portfolios: The functions rolling*Portfolio ... Rolling Frontier: The function rollingPortfolioFrontier ... Rolling Backtesting: The functions ...

See Also

PortfolioClass, PortfolioData, PortfolioSpec, PortfolioConstraints.

Examples

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