pputil.meanvar {pprobeSup}R Documentation

Mean-variance utility function

Description

Returns a mean-variance utility based on the scenarios – a value for each random portfolio.

Usage

pputil.meanvar(rp, scenarios, risk.aversion = 1, level = NULL, 
	verbose = FALSE)

Arguments

rp

a random portfolio object.

scenarios

a three-dimensional array: times in rows, assets in columns and scenarios in the third dimension.

risk.aversion

a (positive) number giving the amount penalize variance relative to the mean (of log returns).

level

if NULL, then the mean utility is returned.

Otherwise, should be a number between 0 and 1 giving the quantile of the utility to return.

verbose

logical value, if TRUE, then information is printed about the result.

Value

a numeric vector as long as the number of random portfolios. The utility for each portfolio and scenario is the mean log return (across time) minus the risk aversion times the variance.

The value for each portfolio is the mean or level quantile of the utilities across scenarios.

Side effects

if verbose is TRUE, then printing is done.

Testing status

In test suite, mildly tested.

Revision

This help file was last revised 2013 May 02.

See Also

scenario.optimizer, pputil.fourmoments, pputil.omega, pputil.value.

Examples

mvOpt <- scenario.optimizer(multipleTimesScen, 
	utility=pputil.meanvar,
        extraArgs=list(risk.aversion=1.4),
	max.weight=.04, gross=1e7, long.only=TRUE, port.size=50,
        existing=currentHoldings)

sameThing <- scenario.optimizer(multipleTimesScen, 
	utility=pputil.fourmoments,
        extraArgs=list(parameters=c(-1.4, 0, 0)),
	max.weight=.04, gross=1e7, long.only=TRUE, port.size=50,
        existing=currentHoldings)
[Package pprobeSup version 1.00 Index]