find.minmax.return: Find Min and Max Return

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

This function finds the minimum and maximum feasible returns given a set of capital market assumptions, including constraints. It is called to find the endpoints for creating an efficient frontier. It returns a list with min and max items each of which are produced by solveLP. The opt value is the min or max respectively. Requires linprog.

Usage

find.minmax.return(cma.ta)

Details

@param cma.ta Tax-aware capital market assumptions @keywords tax-aware efficient frontier @return value A two item list containing min and max each of which are produced by solveLP. The opt value is the min or max return respectively. Arithmetic. @export @seealso solveLP @keywords find.minmax.return()

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