portfolio.moments.boudt

Set portfolio moments for use by lower level optimization functions using
a statistical factor model based on the work of Kris Boudt.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

portfolio.moments.boudt function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of 
asset returns</dd>
<dt>portfolio</dt>
<dd>an object of type <code>portfolio</code> specifying the 
constraints and objectives for the optimization, see 
<code>portfolio.spec</code></dd>
<dt>momentargs</dt>
<dd>list containing arguments to be passed down to lower level 
functions, default NULL</dd>
<dt>k</dt>
<dd>number of factors used for fitting statistical factor model</dd>
<dt>...</dt>
<dd>any other passthru parameters</dd></dl>

Arguments

Portfolio Moments — portfolio.moments.boudt

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of 
asset returns</dd>


<dt>portfolio</dt>
<dd>an object of type <code>portfolio</code> specifying the 
constraints and objectives for the optimization, see 
<code>portfolio.spec</code></dd>


<dt>momentargs</dt>
<dd>list containing arguments to be passed down to lower level 
functions, default NULL</dd>


<dt>k</dt>
<dd>number of factors used for fitting statistical factor model</dd>


<dt>...</dt>
<dd>any other passthru parameters</dd>

</dl>

Portfolio Moments

portfolio.moments.boudt: Portfolio Moments

Description

Usage

Arguments