meanetl.efficient.frontier

a portfolio object with constraints and objectives created via <code><a rd-options="" href="/link/portfolio.spec?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::portfolio.spec">portfolio.spec</a></code>

portfolio

number of portfolios to generate the efficient frontier

n.portfolios

passthru parameters to <code><a rd-options="" href="/link/optimize.portfolio?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::optimize.portfolio">optimize.portfolio</a></code>

&#8230;

This function generates the mean-ETL efficient frontier of a portfolio
specifying the constraints and objectives. The <code>portfolio</code> object 
should have two objectives: 1) mean and 2) ES (or ETL or cVaR). If the 
portfolio object does not contain these objectives, they will be added 
using default parameters.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

meanetl.efficient.frontier function

<dl><dt>portfolio</dt>
<dd>a portfolio object with constraints and objectives created via <code>portfolio.spec</code></dd>
<dt>R</dt>
<dd>an xts or matrix of asset returns</dd>
<dt>n.portfolios</dt>
<dd>number of portfolios to generate the efficient frontier</dd>
<dt>...</dt>
<dd>passthru parameters to <code>optimize.portfolio</code></dd></dl>

Arguments

Author

Generate the efficient frontier for a mean-etl portfolio — meanetl.efficient.frontier

<dl>

<dt>portfolio</dt>
<dd>a portfolio object with constraints and objectives created via <code>portfolio.spec</code></dd>


<dt>R</dt>
<dd>an xts or matrix of asset returns</dd>


<dt>n.portfolios</dt>
<dd>number of portfolios to generate the efficient frontier</dd>


<dt>...</dt>
<dd>passthru parameters to <code>optimize.portfolio</code></dd>

</dl>

meanetl.efficient.frontier: Generate the efficient frontier for a mean-etl portfolio

Description

Usage

Value

Arguments

Author