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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/R/equal.weight.R
1433 views
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#' Create an equal weight portfolio

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#' 

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#' This function calculates objective measures for an equal weight portfolio.

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#' 

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#' @details

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#' This function is simply a wrapper around \code{\link{constrained_objective}}

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#' to calculate the objective measures in the given \code{portfolio} object of

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#' an equal weight portfolio. The portfolio object should include all objectives

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#' to be calculated.

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#' 

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#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

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#' @param portfolio an object of type "portfolio" specifying the constraints and objectives for the optimization

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#' @param \dots any other passthru parameters to \code{constrained_objective}

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#' @return a list containing the returns, weights, objective measures, call, and portfolio object

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#' @author Ross Bennett

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#' @export

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equal.weight <- function(R, portfolio, ...){

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  # Check for portfolio object passed in

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  if(!is.portfolio(portfolio)) stop("portfolio object passed in must be of class 'portfolio'")

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  max_sum <- get_constraints(portfolio)$max_sum

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  # get asset information for equal weight portfolio

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  assets <- portfolio$assets

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  nassets <- length(assets)

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  weights <- rep(max_sum / nassets, nassets)

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  names(weights) <- names(assets)

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  # make sure the number of columns in R matches the number of assets

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  if(ncol(R) != nassets){

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    if(ncol(R) > nassets){

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      R <- R[, 1:nassets]

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      warning("number of assets is less than number of columns in returns object, subsetting returns object.")

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    } else {

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      stop("number of assets is greater than number of columns in returns object")

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    }

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  }

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  tmpout <- constrained_objective(w=weights, R=R, portfolio=portfolio, trace=TRUE, ...)

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  return(structure(list(

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    R=R,

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    weights=weights,

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    out=tmpout$out,

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    objective_measures=tmpout$objective_measures,

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    call=match.call(),

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    portfolio=portfolio),

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                   class=c("optimize.portfolio.eqwt", "optimize.portfolio"))

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  )

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}

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

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# R (https://r-project.org/) Numeric Methods for Optimization of Portfolios

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#

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# Copyright (c) 2004-2021 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt

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#

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# This library is distributed under the terms of the GNU Public License (GPL)

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# for full details see the file COPYING

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#

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# $Id$

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#

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

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