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

In zlfccnu/econophysics: Functions for econophysics

Description

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

Usage

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.