rportfolios (version 1.0-1)

underweight.segments: Underweight Active Investment Segment Exposures

Description

This function underweight the investment exposures of the given portfolios in the given active investment segments by the proportion $x_u$ of the total exposure in the active segment.

Usage

underweight.segments(portfolios, segments, x.u)

Arguments

portfolios

A numeric vector or matrix for the portfolio investment exposures

segments

A vector or list of vectors that define the active investment segment

x.u

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

Value

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

Details

if $ x_u = 0$, then the original portfolios are returned. If $ x_u = 1$, then the total exposure of the active segment is allocated to the passive investment segment of all the portfolios. The private function vector.underweight.segments i performs the actual work and returns a vector. If portfolios is a matrix of investment weights, then the apply function is used with the 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 )
underweight.segments( onePortfolio, I[[1]], 0 )
underweight.segments( onePortfolio, I[[1]], .1 )