efficientPortfolio        package:fPortfolio        R Documentation

_E_f_f_i_c_i_e_n_t _P_o_r_t_f_o_l_i_o_s

_D_e_s_c_r_i_p_t_i_o_n:

     Returns efficient portfolios.

_U_s_a_g_e:

     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")

_A_r_g_u_m_e_n_t_s:

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'. 

_D_e_t_a_i_l_s:

     *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.

_V_a_l_u_e:

     returns an S4 object of class '"fPORTFOLIO"'.

_R_e_f_e_r_e_n_c_e_s:

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

_E_x_a_m_p_l_e_s:

     ## data -
        Data = SMALLCAP.RET
        Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
        Data
        
     ## spec -
        Spec = portfolioSpec()
        setTargetReturn(Spec) = mean(colMeans(Data))
        Spec
        
     ## constraints -
        Constraints = "LongOnly"
        Constraints
        
     ## efficientPortfolio -
        efficientPortfolio(Data, Spec, Constraints)
        
     ## tangency Portfolio -
        tangencyPortfolio(Data, Spec, Constraints)   
        
     ## minvariancePortfolio -
        minvariancePortfolio(Data, Spec, Constraints)

