RollingPortfolio {fPortfolio} | R Documentation |
A collection and description of functions
allowing to roll a portfolio optimization
over time.
The functions are:
rollingWindows | Returns a list of rolling window frames, |
rollingCmlPortfolio | Rolls a CML portfolio, |
rollingTangencyPortfolio | Rolls a tangency portfolio, |
rollingMinvariancePortfolio | Rolls a minimum risk portfolio, |
rollingPortfolioFrontier | returns an efficient portfolio, |
portfolioBacktesting | Does portfolio backtesting. |
rollingWindows(x, period = "12m", by = "1m") rollingCmlPortfolio(data, spec, constraints, from, to, action = NULL, title = NULL, description = NULL, ...) rollingTangencyPortfolio(data, spec, constraints, from, to, action = NULL, title = NULL, description = NULL, ...) rollingMinvariancePortfolio(data, spec, constraints, from, to, action = NULL, title = NULL, description = NULL, ...) rollingPortfolioFrontier(data, spec, constraints, from, to, action = NULL, title = NULL, description = NULL, ...) portfolioBacktesting(formula, data, spec = portfolioSpec(), constraints = NULL, portfolio = "minvariancePortfolio", horizon = "12m", smoothing = "6m", trace = TRUE)
action |
[*Portfolio][*Frontier] - a character string naming a user defined function. This function is optionally applied after each rolling step. |
by |
[rollingWindows] - a character string, by default "1m" , which denotes 1
month. The shift by which the portfolio is rolled.
|
constraints |
[*Portfolio][*Frontier] - a character string vector, containing the constraints of the form "minW[asset]=percentage" for box constraints resp. "maxsumW[assets]=percentage" for sector constraints.
|
data |
[*Portfolio][*Frontier] - a list, having a statistics named list, having named entries 'mu' and 'Sigma', containing the information of the statistics. [*Backtesting] - |
description |
[*Portfolio][*Frontier] - a character string, allowing for a brief project description, by default NULL, i.e. Date and User. |
formula |
[*Backtesting] - a formula describing the benchmark and assets used for backtesting in the form backtest ~ assetA + ... + assetZ . Here,
backtest and asset* are column names of the
data set.
|
from, to |
[*Portfolio][*Frontier] - a vector of S4 timeDate objects which denote the starting
and ending dates for the investigation.
|
horizon |
[*Backtesting] - a character string, by default "12m" , which denotes 12
months. The period over which the portfolio is rolled.
|
period |
[rollingWindows] - a character string, by default "12m" , which denotes 12
months. The period over which the portfolio is rolled.
|
portfolio |
[portfolioBacktesting] - a character string, the function name of a user defined portfolio function, which defines the rolling portfolio strategy. |
smoothing |
[portfolioBacktesting] - a character string, by default "6m" , which denotes 6
months. The period over which the rolling weights are smoothed
by an exponential moving average.
|
spec |
[*Portfolio][*Frontier] - an S4 object of class fPFOLIOSPEC , containing slots call,
model, portfolio, title, description,
see PortfolioSpec
for a full slot description.
|
title |
[*Portfolio][*Frontier] - a character string, containing the title for the object, by default NULL. |
trace |
[portfolioBacktesting][*OptimalPortfolio] - a logical value. Should the calculataion be traced? |
x |
[rollingWindows] - an S4 object of class timeSeries from which the rolling
window frames will be created. The length of these frames is given
by the argument period and they are shifted by the value
specified by the argument by .
|
... |
optional arguments to be passed. |
RollingWindows:
The function rollingWindows
constructs from a 'timeSeries'
object windows frames of given length period
and shift
by
. ...
Rolling Portfolios:
The functions rolling*Portfolio
...
Rolling Frontier:
The function rollingPortfolioFrontier
...
Rolling Backtesting:
The functions ...
rollingwindows()
returns ...
rollingCmlPortfolio
rollingTangencyPortfolio
rollingMinvariancePortfolio
return ...
rollingPortfolioFrontier
returns ...
portfolioBacktesting
returns ...
Diethelm Wuertz and Oliver Greshake for the Rmetrics port.
PortfolioClass
,
PortfolioData
,
PortfolioSpec
,
PortfolioConstraints
.
## ...