Description Usage Arguments Value Examples
View source: R/CQF_FA_FunctPFOpt.R
MPT mean Variance Portfolio Optimizer
1 2 3 | meanVariancePortfolioOptimizer(asset.name, mu.vector, sigma.vector,
correl.matrix, covar.matrix = NA, use.covar.matrix = FALSE,
target.return, rf, print.out = FALSE, opt.focus.type = "return")
|
asset.name |
Name of assets available |
mu.vector |
vector with estimated returns of investment objects |
sigma.vector |
vector with the volatilities of the investment objects |
correl.matrix |
correlation matrix of the investment objects |
use.covar.matrix |
use covariance matrix directly or build it via sigma vector and the correlation matrix, default is FALSE |
target.return |
which return level is seeked (for which the variance is minimized) |
rf |
risk free return |
covar.matrx |
covariance matrix |
weight.risky.assets a vector with the weights of the risky assets
1 2 3 |
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