MeanTCEntropyFrontier: This function computes the mean diversification efficient...

Description Usage Arguments Value Author(s) References

Description

This function computes the mean diversification efficient frontier

Usage

1
  MeanTCEntropyFrontier(S, Mu, w_b, w_0, Constr)

Arguments

S

Covariance Matrix

Mu

a matrix containing the expectations

w_b

a matrix containing the benchmark weights

w_0

a matrix containing the initial portfolio weights

Constr

a list containing the equality and inequality constraints

Value

a list containing

Weights

Ne_s

R_2_s

m_s

s_S

Author(s)

Manan Shah mkshah@cmu.edu

References

A. Meucci - "Managing Diversification", Risk Magazine, June 2009 http://ssrn.com/abstract=1358533


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