portfolio-setSpec: Settings for Specifications of Portfolios

Description

Functions to set specifications for a portfolio.

Usage

setType(spec) <- value
setOptimize(spec) <- value
setEstimator(spec) <- value
setTailRisk(spec) <- value
setParams(spec, name) <- value
setAlpha(spec) <- value
setWeights(spec) <- value
setTargetReturn(spec) <- value
setTargetRisk(spec) <- value
setRiskFreeRate(spec) <- value
setNFrontierPoints(spec) <- value
setStatus(spec) <- value
setSolver(spec) <- value
setObjective(spec) <- value
setTrace(spec) <- value

Value

setType

setOptimize

setEstimator

setParam

Model Settings: just modify the model settings including the portfolio type, the mean/covariance estimator, and optional parameters of an existing portfolio structure.

setWeights

setTargetReturn

setTargetRisk

setTargetAlpha

setRiskFreeRate

setNFrontierPoints

setStatus

Portfolio Settings: just modify the portfolio settings including predefined weights, the target return, the risk free rate, the number of frontier points, and the return and risk range of an existing portfolio structure.

setSolver

setObjective

setTrace

Optim Settings: just modifies the solver setting, i.e. the type of solver to be used for portfolio optimization.

Arguments

spec: an S4 object of class fPFOLIOSPEC, the specification to be modified, by default the default of the function portfolioSpec().
name: a character string, the name of the value to be set.
value: a value for that component of spec to be set.

Details

`setType`	Sets type of portfolio optimization,
`setOptimize`	Sets what to optimize, min risk or max return,
`setEstimator`	Sets names of mean and covariance estimators,
`setParams`	Sets optional model parameters,
`setWeights`	Sets weights vector,
`setTargetReturn`	Sets target return value,
`setTargetRisk`	Sets target risk value,
`setTargetAlpha`	Sets CVaR target alpha value,
`setRiskFreeRate`	Sets risk-free rate value,
`setNFrontierPoints`	Sets number of frontier points,
`setStatus`	Sets status value,
`setSolver`	Sets the type of solver to be used,
`setObjective`	Sets objective function name to be used,
`setTrace`	Sets the logical trace flag.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.