View source: R/extract.efficient.frontier.R
meanvar.efficient.frontier | R Documentation |
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.
meanvar.efficient.frontier(
portfolio,
R,
optimize_method = "ROI",
n.portfolios = 25,
risk_aversion = NULL,
...
)
portfolio |
a portfolio object with constraints created via |
R |
an xts or matrix of asset returns |
optimize_method |
the optimize method to get the efficient frontier, default is ROI |
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
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