R: Utility function for the Omega ratio

pputil.omega {pprobeSup}

R Documentation

Utility function for the Omega ratio

Description

Returns a utility based on the scenarios for the omega ratio (or a weighted sum of omega ratios) – a value for each random portfolio.

Usage

pputil.omega(rp, scenarios, target, simple = FALSE, 
	verbose = FALSE)
pputil.multomega(rp, scenarios, target, weights simple = FALSE, 
	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. For `pputil.omega` there should be exactly two time points. For `pputil.multomega` there should be one more time point than the length of `weights`.
`target`	the target return for the omega ratio.
`weights`	vector of weights to combine omega ratios from different times. There is no assumption that the weights sum to a specific value.
`simple`	logical value: if `TRUE`, then simple returns rather than log returns (the default) are used in the calculations.
`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 is the omega ratio (across scenarios) for pputil.omega.

For pputil.multomega the omega ratio at each time of the returns is computed (across scenarios) and then the weighted mean of the omega ratios is returned.

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.

Examples

omegaOpt  <- scenario.optimizer(scenWith2timepoints, 
	utility=pputil.omega, extraArgs=list(target=0.04), 
	max.weight=.07, gross=1e7, long.only=TRUE, 
	port.size=c(20,30))

multomegaOpt  <- scenario.optimizer(scenWith4timepoints, 
	utility=pputil.omega, 
	extraArgs=list(target=0.04, weights=c(3, 3, 4)), 
	max.weight=.07, gross=1e7, long.only=TRUE, 
	port.size=c(20,30))

[Package pprobeSup version 1.00 Index]