TurnoverFrontier: Turnover constrained portfolio frontier

In R-Finance/MPO: Modern Portfolio Optimization

Description

Calculates an efficient frontier of portfolios with a constraint on overall turnover

Usage

  TurnoverFrontier(returns, npoints = 10, minmu, maxmu,
    w.initial, turnover, long.only = FALSE)

Arguments

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

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

TurnoverOpt

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")

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