Returns efficient portfolios.
efficientPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")maxratioPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
tangencyPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
minriskPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
minvariancePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
maxreturnPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
returns an S4 object of class "fPORTFOLIO".
a character string vector, containing the constraints of the form
"minW[asset]=percentage" for box constraints resp.
"maxsumW[assets]=percentage" for sector constraints.
a multivariate time series described by an S4 object of class
timeSeries. If your timeSerie is not a timeSeries
object, consult the generic function as.timeSeries to
convert your time series.
an S4 object of class fPFOLIOSPEC as returned by the function
portfolioSpec.
Efficient Portfolio:
An efficient portfolio is a portfolio which lies on the efficient
frontier.
The efficientPortfolio function returns the properties of
the efficient portfolio as an S4 object of class fPORTFOLIO.
Minumum Risk or Tangency Portfolio:
The function tangencyPortfolio returns the portfolio with
the highest return/risk ratio on the efficient frontier. For the
Markowitz portfolio this is the same as the Sharpe ratio. To find
this point on the frontier the return/risk ratio calculated from
the target return and target risk returned by the function
efficientPortfolio.
Global minimum risk or Minimum Variance Portfolio:
The function minvariancePortfolio returns the portfolio
with the minimal risk on the efficient frontier. To find the
minimal risk point the target risk returned by the function
efficientPortfolio is minimized.
Maximum Return Portfolio:
The function maxreturnPortfolio returns the portfolio
with the maximal return for a fixed target risk.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.