port_estim_efficient: Estimation of the Efficient Frontier

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Calculates the weights and the standard deviations along the Efficient Frontier.

Usage

port_estim_efficient(Sigma, mu, mugrid, res_all = FALSE)

Arguments

Sigma	a pxp covariance matrix of asset returns.
mu	a vector, the expected returns.
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.

Value

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

a vector of length m with the corresponding standard deviations.

Examples

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_efficient(covMat, muVec, mugrid, res_all=FALSE)

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.