mathWtsEfrontRisky: mathWtsEfrontRisky

In kecoli/mpo: Companion to Modern Portfolio Optimization with R, 2nd Edition

Usage

mathWtsEfrontRisky(returns, mu.efront, bar.ylim = c(0, 1), display.wts = T, digits = NULL)

Arguments

returns
mu.efront
bar.ylim
display.wts
digits

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (returns, mu.efront, bar.ylim = c(0, 1), display.wts = T, 
    digits = NULL) 
{
    V = var(returns)
    mu = apply(returns, 2, mean)
    one = rep(1, nrow(V))
    z1 = solve(V, one)
    a = as.numeric(t(mu) %*% z1)
    cc = as.numeric(t(one) %*% z1)
    z2 = solve(V, mu)
    b = as.numeric(t(mu) %*% z2)
    d = b * cc - a^2
    g1 = as.matrix((b * z1 - a * z2)/d, ncol = 1)
    g2 = as.matrix((cc * z2 - a * z1)/d, ncol = 1)
    n = length(mu.efront)
    a1 = matrix(rep(g1, n), ncol = n)
    a2 = g2 %*% mu.efront
    wts.efront = a1 + a2
    MU.EFRONT = mu.efront
    VOL.EFRONT = (1/cc + (cc/d) * (mu.efront - a/cc)^2)^0.5
    if (display.wts) {
        barplot.wts(wts.efront, legend.text = T, col = topo.colors(10), 
            ylab = "WEIGHTS", xlab = "VOL", bar.ylim = c(-2, 
                6))
    }
    if (is.null(digits)) {
        out = list(mu = MU.EFRONT, vol = VOL.EFRONT, wts = wts.efront)
    }
    else {
        out = rbind(MU.EFRONT, VOL.EFRONT, wts.efront)
        out = as.data.frame(round(out, digits = digits))
        names(out) = paste("PORT", 1:n, sep = "")
    }
    out
  }

kecoli/mpo documentation built on May 20, 2019, 8:34 a.m.