mathEfront: Efficient Frontiers from Returns

In PCRA: Companion to Portfolio Construction and Risk Analysis

Efficient Frontiers from Returns

Description

Computes and plots the efficient frontier with and without risk-free asset, using a multivariate time series of returns to compute the mean vector and covariance matrix

Usage

mathEfront(
  returns,
  mu.max = NULL,
  sigma.max = NULL,
  rf = 0.003,
  rf.line = TRUE,
  stocks = TRUE,
  stock.names = TRUE,
  SRvalue = TRUE,
  npoints = 100,
  cexText = 0.8,
  cexPoints = 0.8,
  digits = NULL
)

Arguments

returns	Multivariate xts object of portfolio returns
mu.max	Numeric value, default NULL
sigma.max	Numeric value, default NULL
rf	Numeric value with default 0.003
rf.line	Logical variable with default TRUE
stocks	Logical variable with default TRUE
stock.names	Logical variable with default TRUE
SRvalue	Logical variable with default TRUE
npoints	Integer number of efficient frontier points, default 100
cexText	Character expansion factor for text
cexPoints	Expansion factor for points
digits	Integer variable number of significant digits, default NULL

Details

When rf.line = TRUE, the linear efficient frontier is displayed, and it is not displayed when rf.line = FALSE. When values = TRUE, the Sharpe ratio and risk-free rate values are displayed in the plot as SHARPE RATIO and RISK-FREE values.

Value

No value returned, instead a plot is displayed of the efficient frontier with cash and risky assets, with risky assets only efficient frontier overlaid

Examples

args(mathEfront)

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