PortfolioAnalytics (version 2.0.0)

set.portfolio.moments: Portfolio Moments

Description

Set portfolio moments for use by lower level optimization functions. Currently three methods for setting the moments are available

Usage

set.portfolio.moments(
  R,
  portfolio,
  momentargs = NULL,
  method = c("sample", "boudt", "black_litterman", "meucci"),
  ...
)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

portfolio

an object of type "portfolio" specifying the constraints and objectives for the optimization, see portfolio.spec

momentargs

list containing arguments to be passed down to lower level functions, default NULL

method

the method used to estimate portfolio moments. Valid choices include "sample", "boudt", and "black_litterman".

...

any other passthru parameters

Details

sample:

sample estimates are used for the moments

boudt:

estimate the second, third, and fourth moments using a statistical factor model based on the work of Kris Boudt.

See statistical.factor.model

black_litterman:

estimate the first and second moments using the Black Litterman Formula. See black.litterman

.