summary.portfolBurSt {PortfolioProbe}R Documentation

Information on Portfolio Trade Objects

Description

The summary method shows pertinent information about the object. The print method shows most of the components of the object.

Usage

summary.portfolBurSt(object, prices = object$prices)
print.portfolBurSt(x, ...)

Arguments

object required. An object of class "portfolBurSt", created by trade.optimizer.
x required. An object of class "portfolBurSt", created by trade.optimizer.
prices a named vector of prices so that the portfolio can be valued.
... additional arguments to print.

Value

summary returns a list with the following components:

results vector giving the objective, the negative utility (including costs), the cost of the trade, and the penalty imposed for broken constraints.
objective.utility character string stating the utility being optimized.
alpha.values vector of optimal expected returns.
var.values vector of optimal variances.
number.of.assets a vector giving the size (number of names) of the existing portfolio, the size of the trade, the size of the new portfolio, the number of positions that are opened, the number of positions that are closed, the number of assets in the universe, the number of tradable assets, plus two more elements that might have affected the number of tradable assets. The select.universe element says how long the universe.trade argument (effectively) was, and the positions.notrade element says how many assets the positions argument disallows from trading.
opening.positions the asset names of the positions that are opened.
closing.positions the asset names of the positions that are closed.
valuation.new.portfolio the gross, net, long and short values of the new portfolio. This is present only if there are prices.
valuation.trade the gross, net, long and short values of the trade. This is present only if there are prices.
valuation.trade.fraction.of.gross the gross, net, long and short values of the trade divided by the gross value of the portfolio. This is present only if there are prices.
violated vector of character strings stating which types of constraints were violated. This is absent if all constraints were satisfied.
risk.fraction a matrix giving the fraction of variance accountable to each asset. This is present only if the risk.fraction argument was specified in the optimization.
con.realized the realization of constraints. This is present only if linear and/or distance constraints were specified.
lin.trade logical vector stating if linear constraints were on the trade or the portfolio. This is present only if linear constraints were specified.
lin.abs logical vector stating if linear constraints were on the gross or the net. This is present only if linear constraints were specified.
lin.style vector of character strings stating the style of the linear constraints, that is, "weight", "value" or "count". This is present only if linear constraints were specified.
lin.direction numeric vector stating the direction of the linear constraints. This is present only if linear constraints were specified.
dist.style vector of character strings stating the style of the distance constraints, that is, "weight", "value", "shares", etc. This is present only if distance constraints were specified.
dist.trade logical vector stating if distance constraints were on the trade or the portfolio. This is present only if distance constraints were specified.
dist.utility logical vector stating if the distances are used in the utility or constrained. This is present only if distance constraints were specified.


print invisibly returns the input x.

Side Effects

print causes a list of some but not all of the components of the object to be printed.

Details

These are methods of summary and print for objects of class "portfolBurSt".

Revision

This help was last revised 2011 March 24.

See Also

trade.optimizer, constraints.realized, valuation.portfolBurSt.

Examples

op1 <- trade.optimizer(eq.prices, varian, long.only=TRUE, 
        gross.value=1e6)
op1 # print the object

names(op1) # see names of the object, hence what is left out

summary(op1)
summary(op1, price=new.prices)

[Package PortfolioProbe version 1.03 Index]