opt.outputMvoPCRA {PCRA}

Optimal Portfolio Weights and Performance

Description

Converts output of PortfolioAnalytics function optimize.portfolio, which computes a minimum variance portfolio, to a list containing the portfolio weights vector, mean, volatility and Sharpe Ratio.

Converts output of 'optimize.portfolio' to a list of the portfolio weights, mean, volatility and Sharpe Ratio.

Usage

opt.outputMvoPCRA(
  opt,
  returns,
  digits = NULL,
  itemNames = NULL,
  annualize = TRUE,
  frequency = "monthly",
  rf = 0
)

Arguments

opt

List output of 'optimize.portfolio'

returns

Multivariate xts object of portfolio assets returns

digits

Integer number of significant digits with default NULL

itemNames

character vector of use-supplied names for portfolio weights, mean, standard deviation and Sharpe Ratio

annualize

Logical with default TRUE

frequency

Returns frequency: "monthly", "weekly" or "daily", with default "monthly"

rf

Numeric value of risk-free rate with default 0.0

Details

This function uses the weights returned by optimize.portfolio, along with the portfolio monthly, weekly or daily assets returns, and a risk-free rate, to compute the portfolio mean return, volatility, and Sharpe Ratio. By default the latter three are annualized, but the user may choose to return non-annualized performance values.

Value

A list containing the portfolio numeric weights, mean value, standard deviation and Sharpe Ratio, with default names Wgts, Mean, StdDev, and SR, or user-supplied names as a character vector value for the argument 'itemNames'.

Author(s)

R. Douglas Martin

Examples

args(opt.outputMvoPCRA)