PortfolioAnalytics: portfolio.spec – R documentation

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portfolio.spec

constructor for class portfolio

Description

The portfolio object is created with portfolio.spec. The portfolio object is an S3 object of class 'portfolio' used to hold the initial asset weights, constraints, objectives, and other information about the portfolio. The only required argument to portfolio.spec is assets.

Usage

portfolio.spec(assets = NULL, category_labels = NULL, weight_seq = NULL,
  message = FALSE)

Arguments

`assets`	number of assets, or optionally a named vector of assets specifying seed weights. If seed weights are not specified, an equal weight portfolio will be assumed.
`category_labels`	character vector to categorize assets by sector, industry, geography, market-cap, currency, etc. Default NULL
`weight_seq`	seed sequence of weights, see `generatesequence` Default NULL
`message`	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.

Details

The portfolio object contains the following elements:

assets named vector of the seed weights
category_labels character vector to categorize the assets by sector, geography, etc.
weight_seq sequence of weights used by random_portfolios. See generatesequence
constraints a list of constraints added to the portfolio object with add.constraint
objectives a list of objectives added to the portfolio object with add.objective
call the call to portfolio.spec with all of the specified arguments

Value

an object of class portfolio

Author(s)

Ross Bennett, Brian G. Peterson

Examples

data(edhec)
pspec <- portfolio.spec(assets=colnames(edhec))
pspec <- portfolio.spec(assets=10, weight_seq=generatesequence())

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