Description Usage Arguments Details Value Author(s)
This function extracts the efficient frontier from an
object created by optimize.portfolio
.
1 2 | extractEfficientFrontier(object, match.col = "ES",
n.portfolios = 25, risk_aversion = NULL)
|
object |
an optimal portfolio object created by
|
match.col |
string name of column to use for risk
(horizontal axis). |
n.portfolios |
number of portfolios to use to plot the efficient frontier |
risk_aversion |
vector of risk_aversion values to
construct the efficient frontier. |
If the object is an optimize.portfolio.ROI
object
and match.col
is "ES", "ETL", or "CVaR", then the
mean-ETL efficient frontier will be created via
meanetl.efficient.frontier
.
If the object is an optimize.portfolio.ROI
object
and match.col
is "StdDev", then the mean-StdDev
efficient frontier will be created via
meanvar.efficient.frontier
. Note that if 'var' is
specified as the name of an objective, the value returned
will be 'StdDev'.
For objects created by optimize.portfolo
with the
DEoptim, random, or pso solvers, the efficient frontier
will be extracted from the object via
extract.efficient.frontier
. This means that
optimize.portfolio
must be run with
trace=TRUE
.
an efficient.frontier
object with weights and
other metrics along the efficient frontier
Ross Bennett
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