PCDaR:
Portfolio optimisation with conditional draw down at risk constraint
Description
This function returns the result of a long-only portfolio optimization
whereby the portfolio's (historic) conditional draw down at risk is
constrained to an upper limit.
Numeric, the confidence level for which the conditional
draw down shall be computed.
bound
Numeric, the upper bound of the conditional draw down.
softBudget
Logical, whether the budget constraint shall be
implemented as a soft constraint, i.e. the sum of the weights
can be less than one. The default is to use an equality constraint.
...
Arguments are passed down to Rglpk_solve_LP
Value
An object of formal class "PortAdd".
Details
This function implements a long-only portfolio optimisation with a
CDaR constraint (see references below). The problem can
be stated in the form of a linear program and GLPK is used as solver.
References
Chekhlov, A. and Uryasev, S. and Zabarankin, M., Portfolio
Optimization with Drawdown Constraints, Department of Industrial and
Systems Engineering, University of Florida, Research Report
2000-5, 2000, Gainesville, FL.
Chekhlov, A. and Uryasev, S. and Zabarankin, M., Drawdown Measure in
Portfolio Optimization, International Journal of Theoretical and
Applied Finance, 2005, 8(1), 13--58.