optimal_sharpe: Return optimal sharpe ratio portfolio

Description Usage Arguments Details Author(s) Examples

View source: R/optimal_sharpe.R

Description

This function allows you to calculate weight and target value of optimal sharpe ratio portfolio.

Usage

1
optimal_sharpe(df, rf = 0, short = FALSE, digits = 3)

Arguments

df

portfolio return dataframe

rf

risk free rate

short

allow short or not, default is false

digits

how many digits you want in your final result, default is 3

Details

The first column of dataframe should be "Date". It works for constraints that are homogeneous of degree 0.

It's very risky to maximize sharpe ratio of portfolio

Author(s)

Alfred

Examples

1
optimal_sharpe(df, rf=0, short=FALSE, digits=3)

Alfred-Zhang/ResearchTools documentation built on Nov. 23, 2017, 1:54 a.m.