Description Usage Arguments Value Author(s)
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.
1 2 | meanetl.efficient.frontier(portfolio, R,
n.portfolios = 25, ...)
|
portfolio |
a portfolio object with constraints and
objectives created via |
R |
an xts or matrix of asset returns |
n.portfolios |
number of portfolios to generate the efficient frontier |
... |
passthru parameters to
|
a matrix of objective measure values and weights along the efficient frontier
Ross Bennett
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