TransCostFrontier: Transaction cost penalized portfolio efficient frontier

In R-Finance/MPO: Modern Portfolio Optimization

Description

Calculates an efficient frontier of portfolios using transaction costs as a penalty.

Usage

  TransCostFrontier(returns, npoints = 10, min.lambda,
    max.lambda, w.initial, c, long.only = FALSE)

Arguments

returns	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
min.lambda	minimum feasible risk aversion parameter to use in optimization
max.lambda	maximum feasible risk aversion parameter to use in optimization
w.initial	initial vector of portfolio weights. Length of the vector must be equal to ncol(returns)
c	transaction costs. Must be a single value or a vector of length equal to ncol(returns)
long.only	optional long only constraint. Defaults to FALSE

Value

returns a matrix, with the first column of mean return second column of portfolio standard deviation, and subsequent columns of asset weights

Author(s)

James Hobbs

See Also

TransactionCostOpt

data(Returns) efront <- TransCostFrontier(large.cap.returns,npoints=50,min.lambda=5, max.lambda=1000,w.initial=rep(1/100,100),c=0.0005) plot(x=efront[,"SD"],y=efront[,"MU"],type="l")

R-Finance/MPO documentation built on May 8, 2019, 3:52 a.m.