meancsm.efficient.frontier: Generate the efficient frontier for a mean-CSM portfolio

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Generate the efficient frontier for a mean-CSM portfolio

Description

This function generates the mean-CSM efficient frontier of a portfolio specifying the constraints and objectives. The portfolio object should have two objectives: 1) mean and 2) CSM. If the portfolio object does not contain these objectives, they will be added using default parameters.

Usage

meancsm.efficient.frontier(
  portfolio,
  R,
  optimize_method = "CVXR",
  n.portfolios = 25,
  ...
)

Arguments

portfolio	a portfolio object with constraints and objectives created via portfolio.spec
R	an xts or matrix of asset returns
optimize_method	the optimize method to get the efficient frontier, default is CVXR
n.portfolios	number of portfolios to generate the efficient frontier
...	passthru parameters to optimize.portfolio

Value

a matrix of objective measure values and weights along the efficient frontier

Author(s)

Xinran Zhao

PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.