PortMdd-class {FRAPO} | R Documentation |
"PortMdd"
This class is intended to hold the results from a portfolio optimisation with a constraint on its maximum draw down.
Objects can be created by calls of the form new("PortMdd",
...)
. This class extends the "PortSol"
class.
MaxDD
:Numeric, the maximum draw down.
DrawDown
:timeSeries, the hsitoric portfolio's draw downs.
weights
:Numeric, vector of optimal weights.
opt
:List, the result of the call to GLPK.
type
:Character, the type of the optimized portfolio.
call
:The call to the function that created the object.
Class "PortSol"
, directly.
No methods defined with class "PortMdd" in the signature.
Bernhard Pfaff
"PortSol"
, "PortAdd"
, "PortCdd"
showClass("PortMdd")