| summary.portfolBurSt {PortfolioProbe} | R Documentation |
The summary method shows pertinent information about the object. The print method shows most of the components of the object.
summary.portfolBurSt(object, prices = object$prices) print.portfolBurSt(x, ...)
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.
|
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.
print causes a list of some but not all of the components of
the object to be printed.
These are methods of summary and print for objects of class
"portfolBurSt".
This help was last revised 2011 March 24.
trade.optimizer,
constraints.realized, valuation.portfolBurSt.
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)