CODEWITHSUNDEEP
performanceanalyticsr-portfolioanalytics
Kelly Chong
Kelly Chong

Reputation: 1

How to custom VaR at 5% and max return in Portfolio Analytics

For Asset Allocation in R using Portfolio Analytics, is there a way to set risk as constant number, then optimize portfolio returns? For example, to maintain VaR always at 5% (conservative), how do weights of 8 assets change in portfolio to max return? In contrast, how do the weights change compared to a risky (VaR =20%) portfolio? In the Portfolio Analytics package, we can only set min risk as objective, but not set risk as a constant number. (Different from Equal Risk Contribution)

Upvotes: 0

Views: 98

Answers (1)

Omar Omeiri
Omar Omeiri

Reputation: 1835

Is this what you are looking for?

add.objective(portfolio = base_pf, type = 'VaR', name = 'var', target=0.05)

or

add.objective(portfolio = base_pf, type = 'VaR', name = 'var', target=0.2)

Upvotes: 0

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