fPortfolio (version 280.73)

fPORTFOLIO-class: Portfolio Class

Description

A collection and description of functions allowing to gain information about optimal portfolios. Generally, optimization is done via three arguments, data, specification of the portfolio, and constraints, while function portfolioFrontier has two additional arguments for title and description.

Usage

## S3 method for class 'fPORTFOLIO':
plot(x, which = "ask", control = list(), ...)
## S3 method for class 'fPORTFOLIO':
summary(object, \dots)

Arguments

control

a list, defining the plotting parameters. The list modifies amongst others the color, e.g. minvariance.col, type of point, e.g. tangency.pch, or the dimension of the point, e.g. cml.cex, see N

which

which of the plots should be displayed? which can be either a character string, "all" (displays all plots) or "ask" (interactively asks which one to display), or a vector of integer values d

object, x

an S4 object of class fPORTFOLIO.

...

optional arguments to be passed.

Value

• portfolioFrontier() returns an S4 object of class "fPORTFOLIO", with the following slots:
• @call
  a call, returning the matched function call.
• @data
  a list with two named elements, series holding the time series data if available, otherwise NA, and statistics, itself a named list with two named elements mu and Sigma holding the vector of means and the matrix of covariances.
• @description
  a character string, allowing for a brief project description.
• @portfolio
  a list, containing parameter specifications for the portfolio: weights a numeric vector specifying the portfolio weights, targetReturn a numeric value specifying the target return, targetRisk a numeric value specifying the target risk, targetMean a numeric value specifying the target return determinated with function mean(), targetStdev a numeric value specifying the target risk in standart deviation as risk measure.
• @specification
  a list with one named element spec which represents an object of class fPFOLIOSPEC, including all information about the portfolio specifications, see PortfolioSpec for further details.
• @title
  a title string.
• feasiblePortfolio cmlPortfolio tangencyPortfolio minvariancePortfolio efficientPortfolio return an S4 object of class fPORTFOLIO having information only about one portfolio.

Details

Portfolio Class: This S4 class contains all information about the portfolio. Basically these are risk measure, mean and covariance estimation, target return, risk free rate, number of frontier points, ranges for calculation, see the "Value" section for a detailed description of the slots.

Examples

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