[R-SIG-Finance] Static Portfolio Optimization

[Dirk Eddelbuettel]

On 1 October 2009 at 15:25, Dirk Eddelbuettel wrote:
| Correct -- the tseries package has done since time immportal. 

Oops: "... has done this since time immortal" is what I meant.  Someone
please write semantic and syntactic checker for Emacs....

Sorry, Dirk
 
| And some seven or eight years ago I sent Adrian a patch, styled after the
| discussion in Huang and Litzenberger, that adds the ability to have long and
| short positions.  
| 
| Which Adrian promptly added and which has been there ever since:
| 
| R> head(as.zoo(EuStockMarkets))
|            DAX  SMI  CAC FTSE
| 1991(130) 1629 1678 1773 2444
| 1991(131) 1614 1688 1750 2460
| 1991(132) 1607 1679 1718 2448
| 1991(133) 1621 1684 1708 2470
| 1991(134) 1618 1687 1723 2485
| 1991(135) 1611 1672 1714 2467
| R> X <- diff(log(as.zoo(EuStockMarkets)))
| R> res <- portfolio.optim(X)                 ## Long only
| R> res$pw
| [1] 0.0000 0.3958 0.0000 0.6042
| R> res <- portfolio.optim(X, shorts=TRUE)    ## Long/Short
| R> res$pw
| [1]  0.02550  0.38213 -0.06377  0.65614
| R> 
| 
| This is arguably a better example than the one in help(portfolio.optim) so
| maybe I should send Kurt a new patch :)
| 
| Dirk
| 
| -- 
| Three out of two people have difficulties with fractions.
| 
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-- 
Three out of two people have difficulties with fractions.