PortCdd-class {FRAPO}

Class "PortCdd"

Description

This class is intended to hold the results from a portfolio optimisation with a constraint on its average draw down.

Objects from the Class

Objects can be created by calls of the form new("PortCdd", ...). This class extends the "PortSol" class.

Slots

CDaR:

Numeric, the conditional draw down at risk.

thresh:

Numeric, threshold value for draw downs at the \alpha level.

DrawDown:

timeSeries, the hsitoric portfolios draw downs.

weights:

Numeric, vector of optimal weights.

opt:

List, the result of the call to GLPK.

type:

Character, the type of the optimized portfolio.

call:

The call to the function that created the object.

Extends

Class "PortSol", directly.

Methods

No methods defined with class "PortCdd" in the signature.

Author(s)

Bernhard Pfaff

See Also

"PortSol", "PortMdd", "PortAdd"

Examples

showClass("PortCdd")