efficientFrontier: Construct the mean-variance efficient frontier using a...

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

Description

Construct a number of long-only or long-short portfolios on the mean-variance efficient frontier where each portfolio is equally distanced in return space

Usage

  efficientFrontier(discretizations, cov, mu,
    longonly = FALSE)

Arguments

discretizations	number of portfolios to generate along efficient frontier (where each portfolio is equally distanced in return spaced)
cov	arithmetic covariance matrix of asset returns
mu	a vector of arithmetic returns for each asset
longonly	a boolean which constrains weights to > 0 if true

Value

a list of portfolios along the frontier from least risky to most risky The indices in each list correspond to each other returns the expected portfolio returns along the frontier volatility the variance of the portfolio along the frontier weights the weights of the portfolio components along the frontier

Author(s)

Ram Ahluwalia [e-mail]

References

Attilio Meucci, 2011, Robust Bayesian Allocation http://papers.ssrn.com/sol3/papers.cfm?abstract_id=681553

See Also

http://symmys.com/node/102

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