PortfolioAnalytics: applyFUN – R documentation

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applyFUN

Apply a risk or return function to a set of weights

Description

This function is used to calculate risk or return metrics given a matrix of weights and is primarily used as a convenience function used in chart.Scatter functions

Usage

applyFUN(R, weights, FUN = "mean", arguments)

Arguments

`R`	xts object of asset returns
`weights`	a matrix of weights generated from random_portfolios or `optimize.portfolio`
`FUN`	name of a function
`arguments`	named list of arguments to FUN

Author(s)

Ross Bennett

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]

Initial release

2018-05-17