投资组合规范、约束与目标

R 中级投资组合分析

Ross Bennett

Instructor

流程概览

PortfolioAnalytics中的通用投资组合优化流程：

定义投资组合规范
添加约束和目标
运行优化
分析优化结果

流程：定义投资组合规范

portfolio.spec(assets = NULL, ...)

# 资产的字符向量
portfolio.spec(assets = c("SP00", "DJIA", "Nasdaq", "FTSE100", "DAX", "CAC40"))

# 带初始权重的命名向量
initial_weights <- c("SP500" = 0.5, "FTSE100" = 0.3, "NIKKEI" = 0.2)
portfolio.spec(assets = initial_weights)

# 资产数量的标量
portfolio.spec(assets = 4)

add.constraint(portfolio,
               type = c("weight_sum", "box", "full_investment",...),
               ...)

# 初始化投资组合规范
p <- portfolio.spec(assets = 4)

# 添加全额投资约束
p <- add.constraint(portfolio = p, type = "weight_sum",
                    min_sum = 1, max_sum = 1)

# 添加箱形约束
p <- add.constraint(portfolio = p, type = "box", 
                    min = 0.2, max = 0.6)

add.objective(portfolio, 
              type = c("return", "risk", ...), 
              name, 
              arguments = NULL,
              ... )

# 初始化投资组合规范
p <- portfolio.spec(assets = 4)
# 添加平均收益目标
p <- add.objective(portfolio = p, type = "return",name = "mean")              

# 添加预期短缺风险目标
p <- add.objective(portfolio = p, type = "risk", name = "ES", 
                   arguments = list(p= 0.9, method = "gaussian")

让我们练习！

R 中级投资组合分析