portfolio.moments.boudt {PortfolioAnalytics} | R Documentation |
Portfolio Moments
Description
Set portfolio moments for use by lower level optimization functions using a statistical factor model based on the work of Kris Boudt.
Usage
portfolio.moments.boudt(R, portfolio, momentargs = NULL, k = 1, ...)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
portfolio |
an object of type |
momentargs |
list containing arguments to be passed down to lower level functions, default NULL |
k |
number of factors used for fitting statistical factor model |
... |
any other passthru parameters |
Note
If any of the objectives in the portfolio
object have
clean
as an argument, the cleaned returns are used to fit the model.
[Package PortfolioAnalytics version 2.0.0 Index]