The sfcr_portfolio() function calculates a valid matrix of portfolio
parameters by applying the symmetry condition and then filling the missing
rows accordingly to the vertical and horizontal adding-up constraints.
sfcr_portfolio(m, known)
| m | A matrix of parameter names |
|---|---|
| known | A named vector of known parameters. One entry for each symmetry condition is enough to find a valid matrix. |
This function calculates only the values of the rates of return matrix, i.e., the internal matrix. The adding-up constraint number 1, that calculates the share of assets in the net wealth and the impact of regular income to wealth ratio must be calculated separately.
If supplied with insufficient parameters, the function will return a matrix with NA values.
This function requires at least (n^2 - n)/2 known parameters to find a valid portfolio matrix, where n is the number of rows/columns. This is achieved by setting known parameters outside the diagonal and not on symmetrical entries, i.e., not lambda12 and lambda21, for example.
João Macalós
j1 <- matrix(paste0("lambda", c(11:14, 21:24, 31:34, 41:44)), ncol = 4, nrow = 4, byrow = TRUE) j2 <- c(lambda12 = 0, lambda13 = 0, lambda14 = 0, lambda23 = -15, lambda24 = -15, lambda34 = -15) sfcr_portfolio(j1, j2)#> $lambdas #> lambda11 lambda21 lambda22 lambda31 lambda32 lambda33 lambda41 lambda42 #> 0 0 30 0 -15 30 0 -15 #> lambda43 lambda44 #> -15 30 #> #> $matrix #> [,1] [,2] [,3] [,4] #> [1,] 0 0 0 0 #> [2,] 0 30 -15 -15 #> [3,] 0 -15 30 -15 #> [4,] 0 -15 -15 30 #>