solve_frontier: calculate the efficient frontier
In SmarshMELLOW/financeSMM: Manipulate financial data
Description
Usage
Arguments
Value
Examples
Description
This function takes a dataframe of stock prices and calculates the mean-
variance efficient frontier. The period length can be manipulated to
use an alternate time length for calculating the vcov matrix.
Usage
1
2
solve_frontier(df, S_period = "monthly", min_ret = 1.0001, max_ret = 1.5,
size_out = 100)
Arguments
df
a dataframe to stock prices
S_period
the period length for the variance matrix. See ret_type
min_ret
the minimum return
max_ret
the maximum return
size_out
the number of obs in the returned df
Value
a dataframe of expected returns and variances
Examples
1
SmarshMELLOW/financeSMM documentation built on May 16, 2019, 6:41 p.m.
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Description Usage Arguments Value Examples
Description
This function takes a dataframe of stock prices and calculates the mean- variance efficient frontier. The period length can be manipulated to use an alternate time length for calculating the vcov matrix.
Usage
1 2 | solve_frontier(df, S_period = "monthly", min_ret = 1.0001, max_ret = 1.5,
size_out = 100)
|
Arguments
df |
a dataframe to stock prices |
S_period |
the period length for the variance matrix. See |
min_ret |
the minimum return |
max_ret |
the maximum return |
size_out |
the number of obs in the returned df |
Value
a dataframe of expected returns and variances
Examples
1 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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