efficientFrontierTwoAsset: Efficient Frontier for Portfolio of Two Assets

Description Usage Arguments Details

Description

Create an efficient frontier for a portfolio of two risky assets

Usage

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2
efficientFrontierTwoAsset(R1, R2, sigma1, sigma2, rho, nPortfolios = 25,
  rf = 0, allowShorting = FALSE, weights = NULL)

Arguments

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 weights argument is specified, the nPortfolios and allowShorting arguments are ignored.

Details

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.


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