efficient.frontier: Create an efficient frontier

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

This function creates a mean-variant efficient frontier given a set of capital market assumptions.

Usage

efficient.frontier(cma.ta, n.portfolios = 25)

Arguments

cma.ta	Tax-aware capital market assumptions
n.portfolios	Number of portfolios (points) to produce on the frontier. Output will have one less point if the minimum return portfolio is inefficient.

Value

An eff object which is a matrix. Each row is a point on the frontier. The first column is the geometric return. The second column is the standard deviation. Subsequent columns are asset class weights.

rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.