mathWtsEfrontRiskyMuCov: Efficient Frontier Portfolio Weights Vectors

In PCRA: Companion to Portfolio Construction and Risk Analysis

Efficient Frontier Portfolio Weights Vectors

Description

Same as function "mathWtsEfrontRisky" except that instead a user specified time series of portfolio asset returns, it is based on user specified returns mean vector and covariance matrix

Usage

mathWtsEfrontRiskyMuCov(muRet, volRet, corrRet, mu.efront, digits = NULL)

Arguments

muRet	Vector of asset mean returns
volRet	Vector of asset volatilities
corrRet	Asset correlation matrix
mu.efront	A vector of specified efficient frontier mean returns
digits	Integer number of significant digits with default NULL

Value

A matrix whose first row contains the mean returns along the efficient frontier, the second row contains the corresponding volatilities, and the remaining rows contain the components of the corresponding weight vectors.

Examples

args(mathWtsEfrontRiskyMuCov)

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