mathWtsEfrontRisky: Efficient Frontier Portfolio Weights Vectors

In PCRA: Companion to Portfolio Construction and Risk Analysis

Efficient Frontier Portfolio Weights Vectors

Description

Uses time series of asset returns to compute the weights vectors for a set of points along the efficient frontier that are defined by their mean return values

Usage

mathWtsEfrontRisky(returns, mu.efront, digits = NULL)

Arguments

returns	A multivariate xts object of n asset returns
mu.efront	A vector of specified efficient frontier mean returns
digits	Integer number of significant digits with default NULL

Value

A matrix with first row containing the mean (MU) along the efficient frontier, the second row containing the standard deviation, and the following n rows contain the n weight vectors along the efficient fronier

Examples

args(mathWtsEfrontRisky)

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