portfolioRolling         package:fPortfolio         R Documentation

_R_o_l_l_i_n_g _P_o_r_t_f_o_l_i_o

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

     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

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

     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, ...)

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

  action: a  character string naming a user defined function. This
          function is optionally applied after each rolling step. 

      by: a character string, by default '"1m"', which denotes 1 month.
          The shift by which the portfolio is rolled. 

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 list, having a statistics named list, having named entries
          'mu' and  'Sigma', containing the information of the
          statistics. 

description: a character string, allowing for a brief project
          description, by default NULL, i.e. Date and User. 

from, to: a vector of S4 'timeDate' objects which denote the starting
          and ending dates for the investigation. 

  period: a character string, by default '"12m"', which denotes 12
          months. The period over which the portfolio is rolled. 

    spec: an S4 object of class 'fPFOLIOSPEC'. 

   title: a character string, containing the title for the object, by 
          default NULL. 

       x: 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.


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

     *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' ...

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

     'rollingwindows()'
      returns ... 

     'rollingCmlPortfolio'
      'rollingTangencyPortfolio'
      'rollingMinvariancePortfolio'
      return ... 

     'rollingPortfolioFrontier'
      returns ... 

_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:

     ## ...

