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\name{fPORTFOLIO-class}
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\alias{class-fPORTFOLIO}
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\alias{fPORTFOLIO-class}
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\alias{plot.fPORTFOLIO}
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\alias{summary.fPORTFOLIO}
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\title{Portfolio Class}
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A collection and description of functions
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allowing to gain information about optimal
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portfolios. Generally, optimization is done
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via three arguments, data, specification of
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the portfolio, and constraints, while function
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portfolioFrontier has two additional
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arguments for title and description.
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\method{plot}{fPORTFOLIO}(x, which = "ask", control = list(), \dots)
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\method{summary}{fPORTFOLIO}(object, \dots)
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a list, defining the plotting parameters. The list modifies amongst
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others the color, e.g. \code{minvariance.col}, type of point, e.g.
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\code{tangency.pch}, or the dimension of the point, e.g. \code{cml.cex},
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see Notes for a complete list of control parameters.
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which of the plots should be displayed? \code{which} can be either a
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character string, \code{"all"} (displays all plots) or \code{"ask"}
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(interactively asks which one to display), or a vector of integer
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values displaying the corresponding plot. Default value is
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an S4 object of class \code{fPORTFOLIO}.
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optional arguments to be passed.\cr
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\bold{Portfolio Class:}
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This S4 class contains all information about the portfolio. Basically
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these are risk measure, mean and covariance estimation, target return,
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risk free rate, number of frontier points, ranges for calculation, see
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the "Value" section for a detailed description of the slots.
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\code{portfolioFrontier()}\cr
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returns an S4 object of class \code{"fPORTFOLIO"}, with the following
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a call, returning the matched function call.
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a list with two named elements, \code{series} holding the time series
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data if available, otherwise NA, and \code{statistics}, itself a
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named list with two named elements \code{mu} and \code{Sigma}
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holding the vector of means and the matrix of covariances.
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a character string, allowing for a brief project description.
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a list, containing parameter specifications for the portfolio:\cr
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\code{weights} a numeric vector specifying the portfolio
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\code{targetReturn} a numeric value specifying the target
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\code{targetRisk} a numeric value specifying the target
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\code{targetMean} a numeric value specifying the target
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return determinated with function mean(),\cr
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\code{targetStdev} a numeric value specifying the target risk in
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standart deviation as risk measure.
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\item{@specification}{
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a list with one named element \code{spec} which represents an object
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of class \code{fPFOLIOSPEC}, including all information about
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the portfolio specifications, see \code{PortfolioSpec}
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\code{feasiblePortfolio}\cr
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\code{cmlPortfolio}\cr
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\code{tangencyPortfolio}\cr
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\code{minvariancePortfolio}\cr
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\code{efficientPortfolio}\cr
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return an S4 object of class \code{fPORTFOLIO} having information only
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\section{Control Parameters}{
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In the following all elements of argument control from functions
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\code{plot}, \code{weightsSlider}, \code{frontierSlider} are listed.
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\item{sliderResolution}{
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[weightsSlider, frontierSlider] -
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a numeric, determining the numbers of slider points, by default
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[weightsSlider, frontierSlider] -
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a character string, denoting the slidertype, by default "frontier"
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for \code{frontierSlider} and "weights" for \code{weightsSlider}.
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\item{sharpeRatio.col}{
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[plot, frontierSlider] -
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a character string, defining color of the Sharpe
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ratio plot, by default "black".
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\item{minvariance.col}{
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a character string, defining color of the minimum variance
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portfolio, by default "red".
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a character string, defining color of the tangency
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portfolio, by default "steelblue".
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[plot, frontierSlider] -
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a character string, defining color of the market
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portfolio and the capital market line, by default "green".
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\item{equalWeights.col}{
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[plot, frontierSlider] -
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a character string, defining the color of the
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equal weights portfolio, by default "blue".
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\item{runningPoint.col}{
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a character string, defining color of the
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point indicating the current portfolio, by default "red".
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\item{singleAsset.col}{
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a character string vector, defining color of the
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single asset portfolios. The vector must have length the number
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of assets, by default \code{rainbow}.
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\item{twoAssets.col}{
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[plot, frontierSlider] -
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a character string, defining color of the
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two assets efficient frontier, by default "grey".
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\item{monteCarlo.col}{
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[plot, frontierSlider] -
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a character string, defining color of the
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Monte Carlo portfolios, by default "black".
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\item{minvariance.pch}{
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a number, defining symbol used for the minimum
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variance portfolio. See \code{\link{points}} for description.
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Default symbol is 17.
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a number, defining symbol used for the tangency portfolio.
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See \code{\link{points}} for description.
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Default symbol is 17.
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[plot, frontierSlider] -
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a number, defining symbol used for the market portfolio.
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See \code{\link{points}} for description.
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Default symbol is 17.
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\item{equalWeights.pch}{
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[plot, frontierSlider] -
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a number, defining symbol used for the equal weights portfolio.
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See \code{\link{points}} for description.
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Default symbol is 15.
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\item{singleAsset.pch}{
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a number, defining symbol used for the single asset portfolios.
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See \code{\link{points}} for description.
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Default symbol is 18.
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\item{sharpeRatio.cex}{
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[plot, frontierSlider] -
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a number, determining size (percentage) of the
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Sharpe ratio plot, by default 0.1.
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\item{minvariance.cex}{
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a number, determining size (percentage) of the
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minimum variance portfolio symbol, by default 1.
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a number, determining size (percentage) of the
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tangency portfolio symbol, by default 1.25.
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[plot, frontierSlider] -
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a number, determining size (percentage) of the
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market portfolio symbol, by default 1.25.
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\item{equalWeights.cex}{
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[plot, frontierSlider] -
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a number, determining size (percentage) of the
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equal weights portfolio symbol, by default 0.8.
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\item{runningPoint.cex}{
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a number, determining size (percentage) of the
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point indicating the current portfolio
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equal weights portfolio symbol, by default 0.8.
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\item{singleAsset.cex}{
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a number, determining size (percentage) of the
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singel asset portfolio symbols, by default 0.8.
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\item{twoAssets.cex}{
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[plot, frontierSlider] -
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a number, determining size (percentage) of the
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two assets efficient frontier plot, by default 0.01.
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\item{monteCarlo.cex}{
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[plot, frontierSlider] -
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a number, determining size (percentage) of the
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Monte Carol portfolio symbols, by default 0.01.
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\item{monteCarlo.cex}{
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[plot, frontierSlider] -
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a number, determining size (percentage) of the
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Monte Carol portfolio symbols, by default 0.01.
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a number, determining number of Monte Carol portfolio, by default 5000.
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[plot, frontierSlider] -
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a vector, containing factors for shrinking and stretching the x- and
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y-axis, by default NULL, i.e. c(1, 1) is used. Default pie size is
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1/15 of the plot range.
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[plot, frontierSlider] -
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a number, determining the weight on the efficient frontier,
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which is illustrated by the pie. Default is tangency portfolio
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[plot, frontierSlider] -
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a vector, containing the pie's x- and y-axis offset from the efficient
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frontier. Default is NULL, i.e. the pie is set one default radius left
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of the efficient frontier.
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[weightsSlider, frontierSlider] -
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a vector, containing x-axis plot limits of the efficient frontier.
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Default setting is maximum of frontier range or single assets
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[weightsSlider, frontierSlider] -
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a vector, containing y-axis plot limits of the efficient frontier.
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Default setting is maximum of frontier range or single assets
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man/class-fPORTFOLIO.Rd
