eff.frontier_ipop: get the efficient frontier, no matter the covariance matrix...

In zlfccnu/econophysics: Functions for econophysics

Description

get the efficient frontier, no matter the covariance matrix is postive semidefinite or not

Usage

eff.frontier_ipop(
  returns,
  covMat = NULL,
  short = "yes",
  risk.premium.up = 20,
  thread = 3,
  maxiter = 40
)

Arguments

covMat	The predefined covariance matrix
short	whether short selling is prohibited or not
thread	the multi threads number
maxiter	Maximum number of iterations
retruns	The return matrix of all the assets,T*N dimension
risk.premim	the maximum risk aversion parameter
risk.increment	the incremental of the risk aversion

Value

a data.frame include the weight, variance, return and shape ratio

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