mathTport: Tangency Portfolio Weights

In PCRA: Companion to Portfolio Construction and Risk Analysis

Tangency Portfolio Weights

Description

Computes the portfolio weights of the tangency portfolio, and its mean return and volatility. The tangency portfolio is defined by the line connecting the zero volatility risk-free rate to its tangency point on the efficient frontier.

Usage

mathTport(returns, rf = 0.005, digits = NULL)

Arguments

returns	A vector or xts object
rf	The risk-free rate, default 0.005
digits	Number of significant digits default NULL

Value

Tangency portfoliow weights, mean and volatility

Examples

args(mathTport)

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