port_estim_cml: Estimation of the Capital Market Line
In antshi/auxPort: Auxiliary functions for portfolio optimization

Description Usage Arguments Value Examples

Calculates the weights and the standard deviations along the Capital Market Line (CML).

1	port_estim_cml(Sigma, mu, rf = 0, mugrid, res_all = FALSE)

`Sigma`	a pxp covariance matrix of asset returns.
`mu`	a vector, the expected returns.
`rf`	a double, the assumed risk-free return. Default value is 0.
`mugrid`	a vector with length m as the grid of expected returns, along which the capital market line is to be estimated.
`res_all`	a logical. If TRUE, the result includes the calculated weights and the standard deviations for the CML. If FALSE, only the weights. Default value is FALSE.

a pxm matrix with the weights of the CML portfolio along mugrid.

a vector of length m with the corresponding standard deviations.

data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
muVec <- colMeans(example_rets)
mugrid <- seq(0, 0.2, by=0.001)
results <- port_estim_cml(covMat, muVec, rf=0, mugrid, res_all=FALSE)