PCDaR {FRAPO} | R Documentation |
Portfolio optimisation with conditional draw down at risk constraint
Description
This function returns the result of a long-only portfolio optimization whereby the portfolio's (historic) conditional draw down at risk is constrained to an upper limit.
Usage
PCDaR(PriceData, alpha = 0.95, bound = 0.05, softBudget = FALSE, ...)
Arguments
PriceData |
A rectangular array of price data. |
alpha |
Numeric, the confidence level for which the conditional draw down shall be computed. |
bound |
Numeric, the upper bound of the conditional draw down. |
softBudget |
Logical, whether the budget constraint shall be implemented as a soft constraint, i.e. the sum of the weights can be less than one. The default is to use an equality constraint. |
... |
Arguments are passed down to |
Details
This function implements a long-only portfolio optimisation with a CDaR constraint (see references below). The problem can be stated in the form of a linear program and GLPK is used as solver.
Value
An object of formal class "PortAdd"
.
Note
A warning is issued in case the solver had exit status not equal to zero.
Author(s)
Bernhard Pfaff
References
Chekhlov, A. and Uryasev, S. and Zabarankin, M., Portfolio Optimization with Drawdown Constraints, Department of Industrial and Systems Engineering, University of Florida, Research Report 2000-5, 2000, Gainesville, FL. Chekhlov, A. and Uryasev, S. and Zabarankin, M., Drawdown Measure in Portfolio Optimization, International Journal of Theoretical and Applied Finance, 2005, 8(1), 13–58.
See Also
"PortSol"
, "PortCdd"
,
"PortDD"
, PMaxDD
,
PAveDD
, PMinCDaR
Examples
## Not run:
data(StockIndex)
popt <- PCDaR(PriceData = StockIndex, alpha = 0.95,
bound = 0.1, softBudget = TRUE)
## End(Not run)