portfolio.optim {tseries} | R Documentation |
Computes an efficient portfolio from the given return series x
in the mean-variance sense.
portfolio.optim (x, pm = mean(x), riskless = FALSE, shorts = FALSE, rf = 0.0)
x |
a numeric matrix or multivariate time series consisting of a series of returns. |
pm |
the desired mean portfolio return. |
riskless |
a logical indicating whether there is a riskless lending and borrowing rate. |
shorts |
a logical indicating whether shortsales on the risky securities are allowed. |
rf |
the riskfree interest rate. |
The computed portfolio has the desired
expected return pm
and no other portfolio exists, which has the same
mean return, but a smaller variance. To solve the quadratic program
solve.QP
is used.
portfolio.optim
is a generic function with methods for multivariate
"ts"
and default
for matrix.
Missing values are not allowed.
A list containing the following components:
pw |
the portfolio weights. |
px |
the returns of the overall portfolio. |
pm |
the expected portfolio return. |
ps |
the standared deviation of the portfolio returns. |
A. Trapletti
E. J. Elton and M. J. Gruber (1991): Modern Portfolio Theory and Investment Analysis, 4th Edition, Wiley, NY, pp. 65-93.
C. Huang and R. H. Litzenberger (1988): Foundations for Financial Economics, Elsevier, NY, pp. 59-82.
x <- rnorm (1000) dim(x) <- c(500,2) res <- portfolio.optim (x) res$pw