EfficientFrontierPrices: Computes the mean-variance efficient frontier (on prices) by...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Compute the mean-variance efficient frontier (on prices)
by quadratic programming, as described in A. Meucci "Risk
and Asset Allocation", Springer, 2005
Usage
1
2
EfficientFrontierPrices(NumPortf, Covariance,
ExpectedValues, Current_Prices, Budget)
Arguments
NumPortf
[scalar] number of portfolio in the
efficient frontier
Covariance
[matrix] (N x N) covariance matrix
ExpectedValues
[vector] (N x 1) expected returns
Current_Prices
[vector] (N x 1) current prices
Budget
[scalar] budget constraint
Value
ExpectedValue [vector] (NumPortf x 1) expected values of
the portfolios
Std_Deviation [vector] (NumPortf x 1) standard deviations
of the portfolios
Composition [matrix] (NumPortf x N) optimal portfolios
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170.
See Meucci's script for "EfficientFrontierReturns.m".
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value Author(s) References
Description
Compute the mean-variance efficient frontier (on prices) by quadratic programming, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005
Usage
1 2 | EfficientFrontierPrices(NumPortf, Covariance,
ExpectedValues, Current_Prices, Budget)
|
Arguments
NumPortf |
[scalar] number of portfolio in the efficient frontier |
Covariance |
[matrix] (N x N) covariance matrix |
ExpectedValues |
[vector] (N x 1) expected returns |
Current_Prices |
[vector] (N x 1) current prices |
Budget |
[scalar] budget constraint |
Value
ExpectedValue [vector] (NumPortf x 1) expected values of the portfolios
Std_Deviation [vector] (NumPortf x 1) standard deviations of the portfolios
Composition [matrix] (NumPortf x N) optimal portfolios
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "EfficientFrontierReturns.m".
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.