RIEfficientFrontier: Generates an efficient frontier based on Meucci's Ranking...

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

Description

Most recent version of article and MATLAB code available at http://www.symmys.com/node/158

Usage

  RIEfficientFrontier(X, p, Options)

Arguments

X	a matrix with the joint-scenario probabilities by asset (rows are joint-scenarios, columns are assets)
p	a vector of probabilities associated with each scenario in matrix X
Options	a list of options....TBD

Value

Exps the NumPortf x 1 vector of expected returns for each asset

Covs the NumPortf x N vector of security volatilities along the efficient frontier

w the NumPortf x N matrix of compositions (security weights) for each portfolio along the efficient frontier

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

Author(s)

Ram Ahluwalia [e-mail] and Xavier Valls [e-mail]

References

A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "RankingInformation/EfficientFrontier.m"

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