a numeric matrix or multivariate time series consisting of a
series of returns.
pm
the desired mean portfolio return.
riskless
a logical indicating whether there is a riskless
lending and borrowing rate.
shorts
a logical indicating whether shortsales on the risky
securities are allowed.
rf
the riskfree interest rate.
Value
A list containing the following components:
pwthe portfolio weights.
pxthe returns of the overall portfolio.
pmthe expected portfolio return.
psthe standared deviation of the portfolio returns.
Details
The computed portfolio has the desired
expected return pm and no other portfolio exists, which has the same
mean return, but a smaller variance. To solve the quadratic program
solve.QP is used.
portfolio.optim is a generic function with methods for multivariate
"ts" and default for matrix.
Missing values are not allowed.
References
E. J. Elton and M. J. Gruber (1991): Modern Portfolio Theory and
Investment Analysis, 4th Edition, Wiley, NY, pp. 65-93.
C. Huang and R. H. Litzenberger (1988): Foundations for
Financial Economics, Elsevier, NY, pp. 59-82.