chart.Efront: Create Efficient Frontier

In PCRA: Companion to Portfolio Construction and Risk Analysis

Create Efficient Frontier

Description

Utility function for creating initial efficient frontier, and for creating subsequent bootstrap efficient frontiers created, all of which are created by the PortfolioAnalytics function create.EfficientFrontier.

Usage

chart.Efront(
  returns,
  pspec,
  firstEfront = TRUE,
  gmv = TRUE,
  maxSR = TRUE,
  rf = 0.003,
  xlim = NULL,
  ylim = NULL,
  xlab = NULL,
  ylab = NULL,
  n.portfolios = 10
)

Arguments

returns	A multivarite xts returns object
pspec	PortfolioAnalytics portfolio specification object
firstEfront	Logical variable, default TRUE
gmv	Logical variable, default TRUE
maxSR	Logical variable, default TRUE
rf	Risk-free rate, default 0.003
xlim	Numeric value, default NULL
ylim	Numeric value, default NULL
xlab	Numeric value, default NULL
ylab	Numeric value, default NULL
n.portfolios	Number of efficient frontier portfolios, default 10

Details

The variable firstEfront is set to TRUE for the initial efficient frontier plot, but is set to FALSE for the bootstrap replicate efficient frontier plots. The choices gmv = TRUE and maxSR = TRUE result in bullet points at those locations on the initial efficient frontier plot

Value

No value returned, instead plots of efficient frontiers for use by bootEfronts()

Examples

args(chart.Efront)

PCRA documentation built on Aug. 30, 2023, 9:09 a.m.