PlotVolVsCompositionEfficientFrontier: Plot the efficient frontier in the plane of portfolio weights...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Author(s)
References
Description
Plot the efficient frontier in the plane of portfolio
weights versus standard deviation, as described in A.
Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1
PlotVolVsCompositionEfficientFrontier(Portfolios, vol)
Arguments
Portfolios
: [matrix] (M x N) of portfolios
weights
vol
: [vector] (M x 1) of volatilities
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
"PlotVolVsCompositionEfficientFrontier.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
Plot the efficient frontier in the plane of portfolio weights versus standard deviation, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 | PlotVolVsCompositionEfficientFrontier(Portfolios, vol)
|
Arguments
Portfolios |
: [matrix] (M x N) of portfolios weights |
vol |
: [vector] (M x 1) of volatilities |
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 "PlotVolVsCompositionEfficientFrontier.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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