PortfolioData           package:fPortfolio           R Documentation

_P_o_r_t_f_o_l_i_o _D_a_t_a _H_a_n_d_l_i_n_g

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions to  handle portfolio
     data.  

     The functions are:

       'portfolioStatistics'  Estimates 'mu' and 'Sigma' statistics,
       'print|show'           Print method for 'fPFOLIOSPEC' objects.

_U_s_a_g_e:

     portfolioData(data, spec = portfolioSpec())

     portfolioStatistics(data, spec = portfolioSpec())

     show.fPFOLIODATA(object)

_A_r_g_u_m_e_n_t_s:

    data: [portfolioStatistics] - 
           a time series or a named list, containing either a series of
          returns or named entries 'mu' and 'Sigma' being mean and
          covariance matrix. 

  object: [show] - 
           an object of class 'fPFOLIODATA' as returned by the function
          'portfolioData'. 

    spec: an S4 object of class 'fPFOLIOSPEC', the specification to be 
          modified, by default the default of the function
          'portfolioSpec()'. 

_D_e_t_a_i_l_s:

     *Dutch Portfolio Data Set:* 

      This data represents seven stocks from the Dutch AEX index,
     Netherlands blue chips. The data is a list of the covariance
     matrix and the return means and is based on daily returns over a
     period from January 1990 till end of October 2003. Companies
     representing the data are Elsevier, Fortis, Getronics, Heineken,
     Philips, Shell and Unilever. 


     *US Portfolio Data Set:* 

      The data inherits eight assets being indexes, commodities and
     bonds. The data is a time series of yearly returns from December
     1973 till  December 1994. Assets are TBills3m, LongBonds, SP500,
     Wilshire5000,  NASDAQComp, LehmanBonds, EAFE, Gold. 

     *Simulated Mean-Cov Data Set:* 

         This data is taken from chapter 1.3.2 in Scherer, M., Martin,
     R.D. (2005); _Introduction To Modern Portfolio Optimization with
     NuOPT, S-PLUS and S+Bayes_, Springer, Berlin. It is a list of
     covariance matrix and the return means of imaginary assets. It is
     an example set for learning about  optimization. 

     *World Index Returns Data Set:* 

         This data set is contributed by D. Locher (2007); It is a
     timeSeries object of four world index return data sets including
     Asia, Eastern Europe, Far East and  Latin America.

_V_a_l_u_e:

     'portfolioStatistics'
      returns a named list of estimated mean '$mu' and covariance 
     '$Sigma' statistics, from a multivariate time series of assets. 

     'portfolioData'
      returns a named list of the time series '$series' and the 
     portfolio '$statistics' as returned by the function
     'portfolioStatistics'.

_A_u_t_h_o_r(_s):

     Diethelm Wuertz and Oliver Greshake for the Rmetrics port.

_S_e_e _A_l_s_o:

     'PortfolioSpec', 'PortfolioConstraints', 'fPORTFOLIO',
     'PortfolioPlots'.

_E_x_a_m_p_l_e_s:

     ## ...

