EfficientFrontierReturnsBenchmark: Computes the mean-variance efficient frontier (on returns) by...

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Compute the mean-variance efficient frontier (on returns) by quadratic programming, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005

Usage

  EfficientFrontierReturnsBenchmark(NumPortf, Covariance,
    ExpectedValues, Benchmark, Constraints = NULL)

Arguments

NumPortf	[scalar] number of portfolio in the efficient frontier
Covariance	[matrix] (N x N) covariance matrix
ExpectedValues	[vector] (N x 1) expected returns
Benchmark	[vector] (N x 1) of benchmark weights
Constraints	[struct] set of constraints. Default: weights sum to one, and no-short positions

Value

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

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Meucci's script for "EfficientFrontierReturnsBenchmark.m"

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