Description Usage Arguments Value Author(s) See Also
Calculates an efficient frontier of portfolios with a constraint on overall turnover
1 2 | TurnoverFrontier(returns, npoints = 10, minmu, maxmu,
w.initial, turnover, long.only = FALSE)
|
returns |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
minmu |
min feasible target portfolio return to use in optimization |
maxmu |
max feasible target portfolio return to use in optimization |
w.initial |
initial vector of portfolio weights. Length of the vector must be equal to ncol(returns) |
turnover |
constraint on turnover from intial weights |
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 <- TurnoverFrontier(large.cap.returns,npoints=50,minmu=0.001, maxmu=.05, w.initial=rep(1/100,100),turnover=5) plot(x=efront[,"SD"],y=efront[,"MU"],type="l")
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