rportfolios (version 1.0-1)

overweight.segments: Overweight Active Investment Segment Exposures

Description

This function overweights the investment exposures of the given portfolios in the given investment segments by the proportion $x_o$ of the total exposure in the segment complement.

Usage

overweight.segments(portfolios, segments, x.o)

Arguments

portfolios

A vector or matrix that defines the portfolios

segments

A vector or list of vectors that defines the investment segments

x.o

A positive real value for the proportion of total passive exposure allocated to the active exposures

Value

A vector of adjusted investment exposures for one portfolio or a matrix for more than one portfolio.

Details

if $ x_o = 0$, then the original portfolios are returned. If $ x_o = 1$, then the total exposure of the segment complement, or passive segment, is allocated to the active investment segment of all the portfolios. The private function vector.overweight.segments does the actual work. If the argument portfolios is a matrix, then the apply function is used with private function to obtain a matrix of weights. The transpose of this matrix is returned.

References

Grinold, R. C. and R. H. Kahn, 1999. Active Portfolio Management: Quantitative Approach for Providing Superior Returns and Controlling Risk, Second Edition, McGraw-Hill, New York, NY.

See Also

segment.complement

Examples

onePortfolio <- random.longonly( 10 )
I <- list()
I[[1]] <- c( 1, 2, 3 )
I[[2]] <- c( 4, 5 )
I[[3]] <- c( 6, 7 )
I[[4]] <- c( 8, 9, 10 )
overweight.segments( onePortfolio, I[[1]], 0 )
overweight.segments( onePortfolio, I[[1]], .1 )