R语言与马克维茨资产组公道论进修条记（操作fportfolio包实现）

仍然以fportfolio包中的数据集LPP2005.RET为例。[plain] view plaincopyprint?

1. library(fPortfolio)  

library(fPortfolio)

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1. #模子设定  
2. mvspec<-portfolioSpec()  
3. setRiskFreeRate(mvspec)<-0  
4. setSolver(mvspec)<-“solveRshortExact”  
5. print(mvspec)  
6. data<-100*LPP2005  
7. Data<-portfolioData(100*LPP2005.RET,mvspec)#100*LPP2005.RET一些股票的收益率  
8. print(Data)  
9. constrains<-“Short”  
10. portfolioConstraints(data,mvspec,constrains)  

#模子设定
mvspec<-portfolioSpec()
setRiskFreeRate(mvspec)<-0
setSolver(mvspec)<-"solveRshortExact"
print(mvspec)
data<-100*LPP2005
Data<-portfolioData(100*LPP2005.RET,mvspec)#100*LPP2005.RET一些股票的收益率
print(Data)
constrains<-"Short"
portfolioConstraints(data,mvspec,constrains)

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1. #方差最小组合求解  
2. globminportfolio<-minvariancePortfolio(Data,mvspec,constrains)  
3. print(globminportfolio)  

#方差最小组合求解
globminportfolio<-minvariancePortfolio(Data,mvspec,constrains)
print(globminportfolio)

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1. #求解特定组合的均值方差  
2. m1vspec<-portfolioSpec()  
3. data1<-100*LPP2005.RET  
4. Data1<-portfolioData(100*LPP2005.RET,m1vspec)  
5. n<-ncol(data1)  
6. setWeights(m1vspec)<-rep(1/n,n)  
7. m1vPortfolio<-feasiblePortfolio(Data1,m1vspec,constraints=”LongOnly”)  
8. print(m1vPortfolio)  

#求解特定组合的均值方差
m1vspec<-portfolioSpec()
data1<-100*LPP2005.RET
Data1<-portfolioData(100*LPP2005.RET,m1vspec)
n<-ncol(data1)
setWeights(m1vspec)<-rep(1/n,n)
m1vPortfolio<-feasiblePortfolio(Data1,m1vspec,constraints="LongOnly")
print(m1vPortfolio)

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1. #在上面同等收益下，优化组合  
2. mvspec1<-portfolioSpec()  
3. setRiskFreeRate(mvspec1)<-0.05  
4. targetReturn<-getTargetReturn(m1vPortfolio@portfolio)[“mean”]  
5. setTargetReturn(mvspec1)<-targetReturn  
6. efficientportfolio<-efficientPortfolio(Data,spec=mvspec1)  
7. weightsPie(efficientportfolio)  
8. efficientportfolio  

#在上面同等收益下，优化组合
mvspec1<-portfolioSpec()
setRiskFreeRate(mvspec1)<-0.05
targetReturn<-getTargetReturn(m1vPortfolio@portfolio)["mean"]
setTargetReturn(mvspec1)<-targetReturn
efficientportfolio<-efficientPortfolio(Data,spec=mvspec1)
weightsPie(efficientportfolio)
efficientportfolio

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1. #做出有效前沿  
2. data2<-100*LPP2005.RET  
3. lppspec<-portfolioSpec()  
4. setRiskFreeRate(lppspec)<-0.005  
5. frontier<-portfolioFrontier(data2,lppspec)  
6. #plot(frontier)  
7. tailoredFrontierPlot(frontier)  
8. frontierPlot(frontier)  
9. cmlPoints(frontier,col=2)  
10. frontier  
11. weightsPlot(frontier)