mathEfrontCashRisky: Math Efficient Frontier: Cash and Risky Assets

In PCRA: Companion to Portfolio Construction and Risk Analysis

Math Efficient Frontier: Cash and Risky Assets

Description

This function computes and plots a linear efficient frontier that is a mix of a risk-free asset ("cash") and risky stocks (or other assets). It optionally returns the weights along the linear efficient frontier.

Usage

mathEfrontCashRisky(
  returns,
  npoints = 10,
  rf = 0.003,
  plot.efront = TRUE,
  stock.names = TRUE,
  values = FALSE,
  scalex = 1.1,
  scaley = 1.1,
  cexPoints = 0.8,
  cexText = 0.8
)

Arguments

returns	Risky asset returns multivariate xts object
npoints	Number of efficient frontier points with default 10
rf	A risk-free rate with default 0.003
plot.efront	Logical variable which if TRUE results in a plot of
stock.names	Logical variable with default TRUE
values	Logical variable for returning efront values with default FALSE
scalex	Horizontal axis scale parameter with default 1.1
scaley	Vertical axis scale parameter with default 1.1
cexPoints	Numerical size parameter for points with default 0.8
cexText	Numerical size parameter for text with default 0.8

Value

default is no value returned, and a plot is displayed of the linear efficient frontier. Optionally, a numeric object containing the weights along the linear efficient frontier are displayed. Optionally no plot is displayed.

Examples

args(mathEfrontCashRisky)

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