fPFOLIODATA {fPortfolio}

Portfolio Data Handling

Description

Creates a fPFOLIODATA object with data set and statistical measures.

Usage

portfolioData(data, spec = portfolioSpec())

## S4 method for signature 'fPFOLIODATA'
show(object)

Arguments

data

[portfolioStatistics] -
a time series or a named list, containing either a series of returns or named entries 'mu' and 'Sigma' being mean and covariance matrix.

object

[show] -
an object of class fPFOLIODATA as returned by the function portfolioData.

spec

an S4 object of class fPFOLIOSPEC, the specification to be modified, by default the default of the function portfolioSpec().

Details

Dutch Portfolio Data Set:

This data represents seven stocks from the Dutch AEX index, Netherlands blue chips. The data is a list of the covariance matrix and the return means and is based on daily returns over a period from January 1990 till end of October 2003. Companies representing the data are Elsevier, Fortis, Getronics, Heineken, Philips, Shell and Unilever.

US Portfolio Data Set:

The data inherits eight assets being indexes, commodities and bonds. The data is a time series of yearly returns from December 1973 till December 1994. Assets are TBills3m, LongBonds, SP500, Wilshire5000, NASDAQComp, LehmanBonds, EAFE, Gold.

Simulated Mean-Cov Data Set:

This data is taken from chapter 1.3.2 in Scherer, M., Martin, R.D. (2005); Introduction To Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes, Springer, Berlin. It is a list of covariance matrix and the return means of imaginary assets. It is an example set for learning about optimization.

World Index Returns Data Set:

This data set is contributed by D. Locher (2007); It is a timeSeries object of four world index return data sets including Asia, Eastern Europe, Far East and Latin America.

Value

portfolioStatistics
returns a named list of estimated mean $mu and covariance $Sigma statistics, from a multivariate time series of assets.

portfolioData
returns a named list of the time series $series and the portfolio $statistics as returned by the function portfolioStatistics.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.