fPFOLIOSPEC: Specification of Portfolios

Description

Specifies portfolios.

Usage

# S4 method for fPFOLIOSPEC
show(object)

Arguments

object

an S4 object of class fPFOLIOSPEC.

Value

portfolioSpec returns an S4 object of class "fPFOLIOSPEC".

Details

Portfolio Specifcation Structure:

The S4 class fPFOLIOSPEC specifies the portfolio. The slots are:

@call

a call, returning the matched function call.

@model

a list, setting the type of portfolio to be optimized, and the mean/covariance estimator to be applied:

type=c("MV","CVaR") a character string denoting the type of portfolio, the implemented types are the Mean-Variance Markowitz Portfolio, "MV", and the Mean-CVaR Portfolio, "CVaR".

estimator=c("mean","cov") a vector of two character strings, the first denoting the mean estimator, and the second the covariance estimator. Additional meaningful selections include robust covariance estimators, e.g. c("mean","mcd"), or c("mean","shrink").

tailRisk=list() a list of optional tail risk information, currently not used. params=list() a list of optional model parameters, currently not used.

@portfolio

a list, settings portfolio parameters including predefined weights, target return, risk free rate, number of frontier points:

weights=NULL a numeric vector specifying the portfolio weights.

targetReturn=NULL a numeric value specifying the target return. The default value sets the target return.

targetRisk=NULL a numeric value specifying the target risk. targetAlpha=NULL a numeric value specifying the target alpha confidence level for CVaR portfolio optimization. The default value sets the target return.

riskFreeRate=0 a numeric value specifying the risk free rate.

nFrontierPoints=50 a numeric value determining the number of points on the efficient frontier.

@solver

a list, setting the type of solver to be used for portfolio optimization:

type=c("quadprog", "Rdonlp2", "lpSolve") a character string specifying the name of the solver to be used. trace=FALSE a logical flag, should the optimization be traced?

@title

a title string, with a default project title.

@description

a character string, with a default project description.

References

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