Description Usage Arguments Value Author(s) References
Compute the mean-variance efficient frontier (on returns) by quadratic programming, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005
1 2 | EfficientFrontierReturns(NumPortf, Covariance,
ExpectedValues, Constraints = NULL)
|
NumPortf |
[scalar] number of portfolio in the efficient frontier |
Covariance |
[matrix] (N x N) covariance matrix |
ExpectedValues |
[vector] (N x 1) expected returns |
Constraints |
[struct] set of constraints. Default: weights sum to one, and no-short positions |
ExpectedValue [vector] (NumPortf x 1) expected values of the portfolios
Volatility [vector] (NumPortf x 1) standard deviations of the portfolios
Composition [matrix] (NumPortf x N) optimal portfolios
Xavier Valls flamejat@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "EfficientFrontierReturns.m".
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