[R-SIG-Finance] [R-sig-finance] Flexible inputs fPortfolio possible?

[Yohan Chalabi]

>>>> "R" == "R at Nabble" <vlanschot at yahoo.com>
>>>> on Tue, 27 May 2008 04:15:15 -0700 (PDT)


   R> Hi,
   R> 
   R> Is it possible yet to allow pre-specified mean-return and/or
   R> covar-matrices
   R> in fPortfolio? If so, where can I find instructions to
   R> achieve this? I
   R> remember reading somewhere that this would eventually become
   R> available.
   R> 
   R> Thx,
   R> 
   R> R at N

Do you want to define your own estimators of the covariance matrix?

You can do it with the dev-version of fPortfolio available at r-forge.

a quick example :

##################
library(fPortfolio)
# only with development version of fPortfolio available on R-Forge

# now you can define your own estimator which must returns a list with a
# named list, with at least the following two entries '\$mu' and
# '\$Sigma', which represent estimators for the mean and covariance,
# respectively.
myEstimator <- 
    function(x, spec = NULL, ...) list(mu = colMeans(x), Sigma = cov(x))

Spec <- portfolioSpec() # default portfolio specification  
setEstimator(Spec) <- "myEstimator" # new estimator
Spec

# Load Data and Convert to timeSeries Object:
Data = as.timeSeries(data(smallcap.ts))
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
Data

## Compute properties of Efficient Portfolio
frontier <- portfolioFrontier(Data, Spec, "LongOnly")
plot(frontier)

####################

hope this helps,
Yohan

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch
www.rmetrics.org

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