PlotResults: Plots the results of computing the efficient frontier...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Author(s)
References
Description
Plots the results of computing the efficient frontier
(Expected returns and frontier), as it appears in A.
Meucci, "Fully Flexible Views: Theory and Practice", The
Risk Magazine, October 2008, p 100-106.
Usage
1
PlotResults(e, s, w, M, Lower = NULL, Upper = NULL)
Arguments
e
the NumPortf x 1 matrix of expected returns for
each portfolio along the efficient frontier
s
the NumPortf x 1 matrix of standard deviation of
returns for each portfolio along the efficient frontier
w
the NumPortf x N matrix of compositions
(security weights) for each portfolio along the efficient
frontier
M
the NumPortf x 1 vector of expected returns for
each asset
Lower
constraints
Upper
constraints
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "RankingInformation/PlotResults.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Author(s) References
Description
Plots the results of computing the efficient frontier (Expected returns and frontier), as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106.
Usage
1 | PlotResults(e, s, w, M, Lower = NULL, Upper = NULL)
|
Arguments
e |
the NumPortf x 1 matrix of expected returns for each portfolio along the efficient frontier |
s |
the NumPortf x 1 matrix of standard deviation of returns for each portfolio along the efficient frontier |
w |
the NumPortf x N matrix of compositions (security weights) for each portfolio along the efficient frontier |
M |
the NumPortf x 1 vector of expected returns for each asset |
Lower |
constraints |
Upper |
constraints |
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "RankingInformation/PlotResults.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.
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