# Change Expected Return in fPortfolio

2 messages
Open this post in threaded view
|
Report Content as Inappropriate

## Change Expected Return in fPortfolio

 Hi everyone, I am wondering if anyone can provide any guidance on how to change the expected return when optimizing a portfolio using the fPortfolio package in R. I do not have any code because I have been using the existing methodology which uses the historical mean return. I am looking to pass an expected return vector to use in the optimization or atleast change some of the numbers in the statistics slot. After reading in my data, I am running this: ASFSpec = portfolioSpec() print(ASFSpec) constraints = "LongOnly" #Minimum Risk Efficient Portfolio minriskSpec = portfolioSpec() targetReturn = getTargetReturn #existing Portfolio #Mean-Variance Tangency Portfolio tgSpec = portfolioSpec() setRiskFreeRate(tgSpec) = 0 tgPortfolio = tangencyPortfolio(data=ASFts,spec=tgSpec,constraints = "LongOnly") print(tgPortfolio) This outputs: Title:  MV Tangency Portfolio  Estimator:         covEstimator  Solver:            solveRquadprog  Optimize:          minRisk  Constraints:       LongOnly Portfolio Weights:     HY    CDX    GBD 0.3835 0.0371 0.5794 Covariance Risk Budgets:     HY    CDX    GBD 0.0899 0.0024 0.9077 Target Returns and Risks:   mean    Cov   CVaR    VaR 0.0541 0.3981 0.8580 0.6087 Now I want to change the statistics slot for the initial return of CDX to say 0.02. I write: tgPortfolio@data@statistics\$mean[2] = 0.02 tgPortfolio = tangencyPortfolio(data=ASFts,spec=tgSpec,constraints = "LongOnly") print(tgPortfolio) Still get the same ouput. I understand why it is not working, but have no idea on a workaround. Can someone advise me on how to feed in my own mean returns? Thanks, AG         [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.