Description Usage Arguments Value Author(s) See Also
Calculates an efficient frontier of portfolios using transaction costs as a penalty.
1 2 | TransCostFrontier(returns, npoints = 10, min.lambda,
max.lambda, w.initial, c, long.only = FALSE)
|
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 |
returns a matrix, with the first column of mean return second column of portfolio standard deviation, and subsequent columns of asset weights
James Hobbs
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")
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