Description Usage Arguments Details
Create an efficient frontier for a portfolio of two risky assets
1 2 | efficientFrontierTwoAsset(R1, R2, sigma1, sigma2, rho, nPortfolios = 25,
rf = 0, allowShorting = FALSE, weights = NULL)
|
R1 |
expected return for asset 1 |
R2 |
expected return for asset 2 |
sigma1 |
standard deviation for asset 1 |
sigma2 |
standard deviation for asset 2 |
rho |
correlation coefficient between asset 1 and asset 2 |
nPortfolios |
number of portfolios to generate along efficient frontier |
rf |
risk free rate |
allowShorting |
TRUE/FALSE to allow short sales |
weights |
vector of weights for fraction of asset 1 used to generate
the efficient frontier. If the |
This is a specialized function to generate points along the efficient frontier for a portfolio of two assets following the equations presented in Chapter 3: Delineating Efficient Portfolios.
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