efficientFrontier: Efficient Frontier

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Generate portfolios along an efficient frontier.

Usage

efficientFrontier(R, nPortfolios = 25, minBox = 0, maxBox = 1,
  groupList = NULL, groupMin = NULL, groupMax = NULL)

Arguments

R	xts object of asset returns
nPortfolios	number of portfolios to generate along efficient frontier
minBox	box constraint minimum
maxBox	box constraint maximum
groupList	list specifying asset groups
groupMin	group constraint minimum
groupMax	group constraint maximum

Details

This is a wrapper function for code in PortfolioAnalytics to initialize a portfolio and create an efficint frontier in mean - standard deviation space. Box constraints and group constraints are supported for constrained optimization to generate portfolios along the efficient frontier.

GARPFRM documentation built on May 2, 2019, 5:45 p.m.