portfolio-efficientPortfolio {fPortfolio}

Efficient Portfolios

Description

Returns efficient portfolios.

Usage

efficientPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")

maxratioPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
tangencyPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")

minriskPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
minvariancePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")

maxreturnPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")

Arguments

constraints

a character string vector, containing the constraints of the form
"minW[asset]=percentage" for box constraints resp.
"maxsumW[assets]=percentage" for sector constraints.

data

a multivariate time series described by an S4 object of class timeSeries. If your timeSerie is not a timeSeries object, consult the generic function as.timeSeries to convert your time series.

spec

an S4 object of class fPFOLIOSPEC as returned by the function portfolioSpec.

Details

Efficient Portfolio:

An efficient portfolio is a portfolio which lies on the efficient frontier. The efficientPortfolio function returns the properties of the efficient portfolio as an S4 object of class fPORTFOLIO.

Minumum Risk or Tangency Portfolio:

The function tangencyPortfolio returns the portfolio with the highest return/risk ratio on the efficient frontier. For the Markowitz portfolio this is the same as the Sharpe ratio. To find this point on the frontier the return/risk ratio calculated from the target return and target risk returned by the function efficientPortfolio.

Global minimum risk or Minimum Variance Portfolio:

The function minvariancePortfolio returns the portfolio with the minimal risk on the efficient frontier. To find the minimal risk point the target risk returned by the function efficientPortfolio is minimized.

Maximum Return Portfolio:

The function maxreturnPortfolio returns the portfolio with the maximal return for a fixed target risk.

Value

returns an S4 object of class "fPORTFOLIO".

References

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