meanrisk.efficient.frontier: Generate multiple efficient frontiers for the same portfolio

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Generate multiple efficient frontiers for the same portfolio

Description

This function generates the mean-risk efficient frontier of a portfolio specifying the constraints and objectives. The risk_type object is for the basic mean-risk efficient frontier, other efficient frontiers will be generated with the same target returns. All mean-StdDev, mean-ES and mean-EQS efficient frontiers will be generated.

Usage

meanrisk.efficient.frontier(
  portfolio,
  R,
  optimize_method = "CVXR",
  n.portfolios = 25,
  risk_type = "StdDev",
  compare_port = c("StdDev", "ES"),
  ...
)

Arguments

portfolio	a portfolio object with constraints and objectives created via portfolio.spec
R	an xts or matrix of asset returns
optimize_method	the optimize method to get the efficient frontier, default is CVXR
n.portfolios	number of portfolios to generate the efficient frontier
risk_type	one of "StdDev", "ES" and "EQS", which determines the type of basic efficient frontier.
compare_port	vector composed of any risk "StdDev", "ES", "EQS", for example, compare_port=c("StdDev", "ES")
...	passthru parameters to optimize.portfolio

Value

a matrix of objective measure values and weights along the efficient frontier

Author(s)

Xinran Zhao

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.