meanetl.efficient.frontier: Generate the efficient frontier for a mean-etl portfolio

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

Description

This function generates the mean-ETL efficient frontier of a portfolio specifying the constraints and objectives. The portfolio object should have two objectives: 1) mean and 2) ES (or ETL or cVaR). If the portfolio object does not contain these objectives, they will be added using default parameters.

Usage

  meanetl.efficient.frontier(portfolio, R,
    n.portfolios = 25, ...)

Arguments

portfolio	a portfolio object with constraints and objectives created via portfolio.spec
R	an xts or matrix of asset returns
n.portfolios	number of portfolios to generate the efficient frontier
...	passthru parameters to optimize.portfolio

Value

a matrix of objective measure values and weights along the efficient frontier

Author(s)

Ross Bennett

R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.