Book a Demo!
CoCalc Logo Icon
StoreFeaturesDocsShareSupportNewsAboutPoliciesSign UpSign In
braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/R/opt.outputMvo.R
1433 views
1
#' @title Optimal Portfolio Weights and Performance Values

2
#' 

3
#' @description Converts output of `optimize.portfolio` to a list of the

4
#' portfolio weights, mean, volatility and Sharpe Ratio.

5
#' 

6
#' @param opt List output of `optimize.portfolio` 

7
#' @param returns Multivariate xts object of portfolio assets returns

8
#' @param digits Integer number of significant digits with default NULL

9
#' @param annualize Logical with default TRUE

10
#' @param frequency Returns frequency: "monthly", "weekly" or "daily"

11
#' @param rf Numeric value with default 0.0

12
#' 

13
#' @details This function uses the weights returned by optimize.portfolio,

14
#' along with the portfolio assets returns, and a risk-free rate, to

15
#' to compute the portfolio mean return, volatility, and Sharpe Ratio.

16
#'

17
#' @return A list containing the portfolio numeric weights, mean value,

18
#' volatility and Sharpe Ratio.

19
#' 

20
#' @author R. Douglas Martin

21
#' @export

22
#'

23
#' @examples

24
#' args(opt.outputMvo)

25
opt.outputMvo <- function(opt, returns, digits = NULL, annualize = TRUE, 

26
                             frequency = "monthly", rf = 0.0) 

27
{

28
  if(class(returns)[1] == "xts"){

29
    returns <- coredata(returns)

30
  }

31
  Wgts <- opt$weights

32
  sigmasq <- as.numeric(t(Wgts) %*% var(returns) %*% Wgts)

33
  StdDev <- sqrt(sigmasq)

34
  mu.ret <- apply(returns, 2, mean)

35
  Mean <- as.numeric(t(Wgts) %*% mu.ret)

36
  SR <- (Mean - rf)/StdDev

37
  a <- 1; b <- 1

38
  if(annualize){

39
    if(frequency == "monthly"){

40
      a <- 12; b <- sqrt(12)

41
    } else if(frequency == "weekly"){

42
      a <- 52; b <- sqrt(52)

43
    } else {

44
      a <- 260; b <- sqrt(260)

45
    }

46
  }      

47
  Mean <- a*Mean

48
  StdDev <- b*StdDev

49
  SR <- b*SR

50
  

51
  output <- list(Wgts = Wgts, Mean = Mean, StdDev = StdDev, SR = SR)

52
  if (!is.null(digits)) {

53
    output <- lapply(output, round, digits)

54
  }

55
  output

56
}

57


58


59
###############################################################################

60
# R (https://r-project.org/) Numeric Methods for Optimization of Portfolios

61
#

62
# Copyright (c) 2004-2023 R. Douglas Martin

63
#

64
# This library is distributed under the terms of the GNU Public License (GPL)

65
# for full details see the file COPYING

66
#

67
# $Id$

68
#

69
###############################################################################

70