Description Usage Arguments Details Value Author(s) See Also
create an efficient frontier
1 2 3 | create.EfficientFrontier(R, portfolio, type,
n.portfolios = 25, risk_aversion = NULL,
match.col = "ES", search_size = 2000, ...)
|
R |
xts object of asset returns |
portfolio |
object of class 'portfolio' specifying
the constraints and objectives, see
|
type |
type of efficient frontier, see Details. |
n.portfolios |
number of portfolios to calculate along the efficient frontier |
risk_aversion |
vector of risk_aversion values to
construct the efficient frontier. |
match.col |
column to match when extracting the
efficient frontier from an objected created by
|
search_size |
passed to
|
... |
passthrough parameters to
|
Currently there are 4 'types' supported to create an efficient frontier:
"mean-var",
"mean-sd", or "mean-StdDev": This is a special case for
an efficient frontier that can be created by a QP solver.
The portfolio
object should have two objectives:
1) mean and 2) var. If the portfolio object does not
contain these objectives, they will be added using
default parameters. The efficient frontier will be
created via meanvar.efficient.frontier
.
"mean-ETL", "mean-ES", "mean-CVaR", "mean-etl":
This is a special case for an efficient frontier that can
be created by an LP solver. The portfolio
object
should have two objectives: 1) mean and 2) ETL/ES/CVaR.
If the portfolio object does not contain these
objectives, they will be added using default parameters.
The efficient frontier is created via
meanetl.efficient.frontier
.
"DEoptim": This can handle more complex
constraints and objectives than the simple mean-var and
mean-ETL cases. For this type, we actually call
optimize.portfolio
with
optimize_method="DEoptim"
and then extract the
efficient frontier with
extract.efficient.frontier
.
"random":
This can handle more complex constraints and objectives
than the simple mean-var and mean-ETL cases. For this
type, we actually call optimize.portfolio
with optimize_method="random"
and then extract the
efficient frontier with
extract.efficient.frontier
.
an object of class 'efficient.frontier' with the objective measures and weights of portfolios along the efficient frontier.
Ross Bennett
optimize.portfolio
,
portfolio.spec
,
meanvar.efficient.frontier
,
meanetl.efficient.frontier
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