Construct a regime.portfolios
object that contains a time series of
regimes and portfolios corresponding to the regimes.
regime.portfolios(regime, portfolios)
a regime.portfolios
object with the following elements
An xts object of the regime
List of portfolios corresponding to the regime
xts or zoo object specifying the regime
list of portfolios created by
combine.portfolios
with corresponding regimes
Ross Bennett
Create a regime.portfolios
object to support regime switching
optimization. This object is then passed in as the portfolio
argument in optimize.portfolio
. The regime is detected and the
corresponding portfolio is selected. For example, if the current
regime is 1, then portfolio 1 will be selected and used in the
optimization.