Description Usage Arguments Value Author(s)
This function generates the mean-variance efficient
frontier of a portfolio specifying the constraints and
objectives. The portfolio
object should have two
objectives: 1) mean and 2) var (or sd or StdDev). If the
portfolio object does not contain these objectives, they
will be added using default parameters.
1 2 | meanvar.efficient.frontier(portfolio, R,
n.portfolios = 25, risk_aversion = NULL, ...)
|
portfolio |
a portfolio object with constraints
created via |
R |
an xts or matrix of asset returns |
n.portfolios |
number of portfolios to plot along the efficient frontier |
risk_aversion |
vector of risk_aversion values to
construct the efficient frontier. |
... |
passthru parameters to
|
a matrix of objective measure values and weights along the efficient frontier
Ross Bennett
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.