portfolio.spec: constructor for class portfolio

Description

The portfolio object is created with portfolio.spec. The portfolio object is an S3 object of class 'portfolio' used to hold the initial asset weights, constraints, objectives, and other information about the portfolio. The only required argument to portfolio.spec is assets.

Usage

portfolio.spec(
  assets = NULL,
  name = "portfolio",
  category_labels = NULL,
  weight_seq = NULL,
  message = FALSE
)

Value

an object of class portfolio

Arguments

assets: number of assets, or optionally a named vector of assets specifying seed weights. If seed weights are not specified, an equal weight portfolio will be assumed.
name: give the portfolio a name, the default name will be 'portfolio'
category_labels: character vector to categorize assets by sector, industry, geography, market-cap, currency, etc. Default NULL
weight_seq: seed sequence of weights, see generatesequence Default NULL
message: TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.

Author

Ross Bennett, Brian G. Peterson

Details

The portfolio object contains the following elements:

assets: named vector of the seed weights
category_labels: character vector to categorize the assets by sector, geography, etc.
weight_seq: sequence of weights used by random_portfolios. See generatesequence
constraints: a list of constraints added to the portfolio object with add.constraint
objectives: a list of objectives added to the portfolio object with add.objective
call: the call to portfolio.spec with all of the specified arguments

Examples

Run this code

data(edhec)
pspec <- portfolio.spec(assets=colnames(edhec))
pspec <- portfolio.spec(assets=10, weight_seq=generatesequence())

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