mathEfrontRisky: Efficient Frontier of Risky Stocks

In PCRA: Companion to Portfolio Construction and Risk Analysis

Efficient Frontier of Risky Stocks

Description

Computes and plots the efficient frontier of risky assets only, using a multivariate time series of returns to compute the mean vector and covariance matrix

Usage

mathEfrontRisky(
  returns,
  npoints = 100,
  efront.only = TRUE,
  display = TRUE,
  cexGmv = 0.9,
  pchPoints = 20,
  cexPoints = 1,
  cexText = 0.7,
  values = FALSE,
  digits = NULL
)

Arguments

returns	Multivariate xts object of portfolio returns
npoints	Integer number of efficient frontier points, with default 100
efront.only	Logical variable with default TRUE
display	If TRUE the efficient frontier is plotted
cexGmv	A size parameter for the text "GMV"
pchPoints	A parameter of the type of points
cexPoints	A size parameter of points
cexText	A size parameter of text
values	Logical variable with default TRUE
digits	Integer variable number of significant digits, default NULL

Details

When efront.only = TRUE only the efficient frontier is computed, and if FALSE the entire frontier is computed. When value = TRUE the efficient frontier mean and volatility values are returned, and when value = FALSE these values are not returned.

Value

no values are returned by default, and a plot is displayed of the either the risky assets only efficient frontier, or the entire frontier. Optionally, the values of the mean and volatility along the efficient frontier are returned.

Examples

args(mathEfrontRisky)

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