summary.Markowitz: Summary method of class Markowitz

In IntroCompFinR: Introduction to Computational Finance in R

Description

Summary method for objects of class Markowitz. For all portfolios on the efficient frontier, the expected return, standard deviation and asset weights are shown. If risk.free is given then efficient portfolios that are combinations of the risk free asset and the tangency portfolio are computed. The class summary.Markozitz will be created.

Usage

## S3 method for class 'Markowitz'
summary(object, risk.free = NULL, ...)

Arguments

object	object of class Markowitz
risk.free	numeric, risk free rate
...	additional arguments passed to summary()

Author(s)

Eric Zivot

Examples

# construct the data
asset.names = c("MSFT", "NORD", "SBUX")
er = c(0.0427, 0.0015, 0.0285)
names(er) = asset.names
covmat = matrix(c(0.0100, 0.0018, 0.0011,
                  0.0018, 0.0109, 0.0026,
                  0.0011, 0.0026, 0.0199),
                nrow=3, ncol=3)
r.free = 0.005
dimnames(covmat) = list(asset.names, asset.names)

# tangency portfolio
tan.port <- tangency.portfolio(er, covmat, r.free)
# compute global minimum variance portfolio
gmin.port = globalMin.portfolio(er, covmat)

# compute portfolio frontier
ef <- efficient.frontier(er, covmat, alpha.min=-2,
                         alpha.max=1.5, nport=20)
attributes(ef)
summary(ef)

IntroCompFinR documentation built on May 2, 2019, 4:46 p.m.