R/markowitzTargetSD.R

In Bjerring/BEWESO: BEWESO

markowitzTargetSD <- function(prices,type,bond.min,equity.max,Tsd,fees){
  no.fp <- 15
  EF <- EffFrontier(sub.prices,type,bond.min,equity.max,no.fp,fees)
  out <- c(unlist(EF[which( abs(EF[,dim(EF)[2]-1 ]-Tsd) == min(abs(EF[,dim(EF)[2]-1 ]-Tsd)) ),1:(dim(EF)[2]-3) ]))

return(out)
}