我无法在投资组合分析包中加入自定义预期回报。通常预期收益是一些专业的期望/观点或与基本面指标分开计算。投资组合分析允许创建自定义矩函数来计算过去收益的矩,但我不明白如何将已经计算的收益合并到优化问题中。任何帮助表示赞赏,这里是小示例数据集:
#Download package and sample returns
library(PortfolioAnalytics)
library(PerformanceAnalytics)
data(edhec)
returns <- tail(edhec[,1:4], 10)
#Example expected return xts that I'm usually working with. Calculated separately.
N <- 10
M <- 4
views <- as.xts(data.frame(matrix(rnorm(N*M,mean=0,sd=0.05), N, M)), order.by = index(returns))
colnames(views) <- colnames(returns)
让我们创建具有一些目标的基本投资组合。
pf <- portfolio.spec(assets = colnames(returns))
pf <- add.constraint(portfolio = pf, type = "full_investment")
pf <- add.constraint(portfolio = pf, type = "long_only")
pf <- add.objective(portfolio = pf, type = "return", name = "mean")
pf <- add.objective(portfolio = pf, type = "risk", name = "StdDev")
现在我想在每个时期优化投资组合 pf 并考虑观点(该时期的预期回报),但此时我已经没有想法了。