Returns properties of a feasible portfolio.
feasiblePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")feasiblePortfolio function 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.
A feasible portfolio is a portfolio with given weights which lies inside the feasible region of portfolios.
The function requires three arguments: data, spec
(specifications), and constraints, see above. Be sure that
the specification structure "spec" has defined a weights
vector which is different from "NULL". To assign values
to the weights in the specification structure, use the function
setWeights.
The feasiblePortfolio function returns the properties of
the feasible portfolio as an S4 object of class fPORTFOLIO.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.