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\name{fFOLIODATA-class}
\alias{fPFOLIODATA}
\alias{class-fPFOLIODATA}
\alias{fPFOLIODATA-class}
\alias{show,fPFOLIODATA-method}
\alias{portfolioData}
\title{Portfolio Data Handling}
\description{
Creates a fPFOLIODATA object with data set and
statistical measures.
}
\usage{
portfolioData(data, spec = portfolioSpec())
\S4method{show}{fPFOLIODATA}(object)
}
\arguments{
\item{data}{
[portfolioStatistics] - \cr
a time series or a named list, containing either a series of returns or
named entries 'mu' and 'Sigma' being mean and covariance matrix.
}
\item{object}{
[show] - \cr
an object of class \code{fPFOLIODATA} as returned by the function
\code{portfolioData}.
}
\item{spec}{
an S4 object of class \code{fPFOLIOSPEC}, the specification to be
modified, by default the default of the function \code{portfolioSpec()}.
}
}
\details{
\bold{Dutch Portfolio Data Set:}
\cr\cr
This data represents seven stocks from the Dutch AEX index, Netherlands blue
chips. The data is a list of the covariance matrix and the return means and
is based on daily returns over a period from January 1990 till end of
October 2003. Companies representing the data are Elsevier, Fortis,
Getronics, Heineken, Philips, Shell and Unilever.
\cr
\bold{US Portfolio Data Set:}
\cr\cr
The data inherits eight assets being indexes, commodities and bonds.
The data is a time series of yearly returns from December 1973 till
December 1994. Assets are TBills3m, LongBonds, SP500, Wilshire5000,
NASDAQComp, LehmanBonds, EAFE, Gold.
\cr
\bold{Simulated Mean-Cov Data Set:}
\cr\cr
This data is taken from chapter 1.3.2 in Scherer, M., Martin, R.D. (2005);
\emph{Introduction To Modern Portfolio Optimization with NuOPT, S-PLUS and
S+Bayes}, Springer, Berlin. It is a list of covariance matrix and the return
means of imaginary assets. It is an example set for learning about
optimization.
\cr
\bold{World Index Returns Data Set:}
\cr\cr
This data set is contributed by D. Locher (2007);
It is a timeSeries object of four world
index return data sets including Asia, Eastern Europe, Far East and
Latin America.
}
\value{
\code{portfolioStatistics}\cr
returns a named list of estimated mean \code{$mu} and covariance
\code{$Sigma} statistics, from a multivariate time series of assets.
\cr
\code{portfolioData}\cr
returns a named list of the time series \code{$series} and the
portfolio \code{$statistics} as returned by the function
\code{portfolioStatistics}.
}
\references{
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
\emph{Portfolio Optimization with R/Rmetrics},
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
}
\examples{
## ...
}
\keyword{models}
|
