| fPFOLIOSPEC-class {fPortfolio} | R Documentation |
Specifies portfolios.
## S4 method for signature 'fPFOLIOSPEC': show(object)
object |
an S4 object of class fPFOLIOSPEC.
|
Portfolio Specifcation Structure:
The S4 class fPFOLIOSPEC specifies the portfolio. The slots
are:
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.
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.
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?
portfolioSpec
returns an S4 object of class "fPFOLIOSPEC".
## portfolioSpec - # Show Default Portfolio Specifications: Spec = portfolioSpec() # Change Risk Free Rate setRiskFreeRate(Spec) = 3 Spec