setSpec {fPortfolio} | R Documentation |
Functions to set specifications for a portfolio.
setType(spec) <- value setOptimize(spec) <- value setEstimator(spec) <- value setTailRisk(spec) <- value setParams(spec) <- value setAlpha(spec) <- value setWeights(spec) <- value setTargetReturn(spec) <- value setTargetRisk(spec) <- value setRiskFreeRate(spec) <- value setNFrontierPoints(spec) <- value setStatus(spec) <- value setSolver(spec) <- value setObjective(spec) <- value setTrace(spec) <- value
spec |
an S4 object of class fPFOLIOSPEC , the specification to be
modified, by default the default of the function portfolioSpec() .
|
value |
a value for that component of spec to be set.
|
setType | Sets type of portfolio optimization, |
setOptimize | Sets what to optimize, min risk or max return, |
setEstimator | Sets names of mean and covariance estimators, |
setParams | Sets optional model parameters, |
| Sets weights vector, |
setTargetReturn | Sets target return value, |
setTargetRisk | Sets target risk value, |
setTargetAlpha | Sets CVaR target alpha value, |
setRiskFreeRate | Sets risk-free rate value, |
setNFrontierPoints | Sets number of frontier points, |
setStatus | Sets status value, |
| Sets the type of solver to be used, |
setObjective | Sets objective function name to be used, |
setTrace | Sets the logical trace flag. |
setType
setOptimize
setEstimator
setParam
Model Settings: just modify the model settings including the
portfolio type, the mean/covariance estimator, and optional parameters
of an existing portfolio structure.
setWeights
setTargetReturn
setTargetRisk
setTargetAlpha
setRiskFreeRate
setNFrontierPoints
setStatus
Portfolio Settings: just modify the portfolio settings including
predefined weights, the target return, the risk free rate, the number of
frontier points, and the return and risk range of an existing portfolio
structure.
setSolver
setObjective
setTrace
Optim Settings: just modifies the solver setting, i.e. the type
of solver to be used for portfolio optimization.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## portfolioSpec - # Show Default Portfolio Specifications: Spec = portfolioSpec() ## setRiskFreeRate - # Change Risk Free Rate setRiskFreeRate(Spec) = 3 Spec