Estimate a portfolio's return and risk

portfolio.R

create.portfolio <- function( tickers=c('SPY', 'AGG', 'TLT', 'GLD'), weights=NULL, er=NULL, ev=NULL )
{
	e = new.env()
	getSymbols(tickers, from="1950-01-01", env=e)
	a = NULL
	for ( i in 1:length(tickers) )
	{
		a = cbind(a, annualReturn( get(tickers[i], e) ))
	}
	
	if ( is.null(weights) )
	{
		weights = rep(1/length(tickers), length(tickers))
	}
	
	a = na.omit(a)
	names(a) = tickers
	covmat = cov(a)

	if ( is.null(er) )
	{		
		er = as.vector(last(a))
	}

	if ( !is.null(ev) )
	{
		diag(covmat) = ev^2
	}

	vol = sqrt(weights %*% covmat %*% weights)
	per = weights %*% er

	pf = list(
		"weights" = weights,
		"sd" = vol,
		"er" = per
	)
	pf
}