PMD {FRAPO} | R Documentation |
This function returns the solution of the most diversified portfolio (long-only).
PMD(Returns, percentage = TRUE, optctrl = ctrl(),...)
Returns |
A rectangular array of return data. |
percentage |
Logical, whether the weights shall be returned as decimals or percentages (default). |
optctrl |
Object of class |
... |
Arguments are passed down to |
The optimisation problem is akin to that of a global minimum-variance portfolio, but instead of using the variance-covariance matrix of the asset returns, the correlation matrix is utilised as dispersion measure. The weights are then recovered by rescaling the optimal solution with the assets' standard deviations and normalizing, such that the weights sum to one.
An object of formal class "PortSol"
.
The optimisation is conducted by calling cccp()
.
Bernhard Pfaff
Choueifaty, Y. and Coignard, Y. (2008): Toward Maximum Diversification, Journal of Portfolio Management, Vol. 34, No. 4, 40–51.
Choueifaty, Y. and Coignard, Y. and Reynier, J. (2011): Properties of the Most Diversified Portfolio, Working Paper, http://papers.ssrn.com
"PortSol"
data(MultiAsset)
Rets <- returnseries(MultiAsset, method = "discrete", trim = TRUE)
PMD(Rets)