setSpec              package:fPortfolio              R Documentation

_S_e_t_t_i_n_g_s _f_o_r _S_p_e_c_i_f_i_c_a_t_i_o_n_s _o_f _P_o_r_t_f_o_l_i_o_s

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

     Functions to set specifications for a portfolio.

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

     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

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

    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. 

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


       '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,
       'setWeights'          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,
       'setSolver'           Sets the type of solver to be used,
       'setObjective'        Sets objective function name to be used,
       'setTrace'            Sets the logical trace flag.

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

     '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.

_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:

     ## portfolioSpec -
        # Show Default Portfolio Specifications:
        Spec = portfolioSpec()
        
     ## setRiskFreeRate - 
        # Change Risk Free Rate
        setRiskFreeRate(Spec) = 3
        Spec

