feasiblePortfolio {fPortfolio} | R Documentation |
Returns properties of a feasible portfolio.
feasiblePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
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 .
|
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
.
feasiblePortfolio
function returns an S4 object of class
"fPORTFOLIO"
.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## 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)