feasiblePortfolio         package:fPortfolio         R Documentation

_F_e_a_s_i_b_l_e _P_o_r_t_f_o_l_i_o_s

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

     Returns properties of a feasible portfolio.

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

     feasiblePortfolio(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:

     A feasible portfolio is a portfolio with given weights which lies
     inside the feasible region of portfolios.

     The function requires three arguments: 'data', 'spec' 
     (specifications), and 'constraints', see above. Be sure that the
     specification structure '"spec"' has defined a weights vector
     which is different from '"NULL"'.  To assign values to the weights
     in the specification structure, use the function  'setWeights'. 

     The 'feasiblePortfolio' function returns the properties of  the
     feasible portfolio as an S4 object of class 'fPORTFOLIO'.

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

     'feasiblePortfolio' function 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()
        setWeights(Spec) = rep(0.25, times = 4)
        Spec
        
     ## constraints -
        Constraints = "LongOnly"
        Constraints
        
     ## feasiblePortfolio - 
        feasiblePortfolio(Data, Spec, Constraints)

