PortfolioAnalytics: set.portfolio.moments – R documentation

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set.portfolio.moments

Portfolio Moments

Description

Set portfolio moments for use by lower level optimization functions. Currently three methods for setting the moments are available

Usage

set.portfolio.moments(R, portfolio, momentargs = NULL, method = c("sample",
  "boudt", "black_litterman", "meucci"), ...)

Arguments

`R`	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
`portfolio`	an object of type "portfolio" specifying the constraints and objectives for the optimization, see `portfolio.spec`
`momentargs`	list containing arguments to be passed down to lower level functions, default NULL
`method`	the method used to estimate portfolio moments. Valid choices include "sample", "boudt", and "black_litterman".
`...`	any other passthru parameters

Details

sample: sample estimates are used for the moments
boudt: estimate the second, third, and fourth moments using a statistical factor model based on the work of Kris Boudt. See statistical.factor.model
black_litterman: estimate the first and second moments using the Black Litterman Formula. See black.litterman.

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