eff.frontier: Function used to find the efficient frontier by using the...

Description Usage Arguments Value

Description

Function used to find the efficient frontier by using the modern portofilio theory

Usage

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eff.frontier(
  returns,
  covMat = NULL,
  short = "no",
  max.allocation = NULL,
  risk.premium.up = 20,
  thread = 3
)

Arguments

returns

argument should be a m x n matrix with one column per security

covMat

the covariance matrix

short

short selling or not

max.allocation

is the maximum allowed for any one security- reduces concentration

risk.premium.up

is the upper limit of the risk premium modeled, usd the nearPD to make the correlation matrix postive definite

thread

the multithreads argument

Value

a data.frame


zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.