meanvar.efficient.frontier

a portfolio object with constraints 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 plot along the efficient frontier

n.portfolios

vector of risk_aversion values to construct the efficient frontier.
<code>n.portfolios</code> is ignored if <code>risk_aversion</code> is specified and the number
of points along the efficient frontier is equal to the length of <code>risk_aversion</code>.

risk_aversion

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-variance efficient frontier of a portfolio
specifying the constraints and objectives. The <code>portfolio</code> object 
should have two objectives: 1) mean and 2) var (or sd or StdDev). 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

meanvar.efficient.frontier function

<dl><dt>portfolio</dt>
<dd>a portfolio object with constraints 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 plot along the efficient frontier</dd>
<dt>risk_aversion</dt>
<dd>vector of risk_aversion values to construct the efficient frontier.
<code>n.portfolios</code> is ignored if <code>risk_aversion</code> is specified and the number
of points along the efficient frontier is equal to the length of <code>risk_aversion</code>.</dd>
<dt>...</dt>
<dd>passthru parameters to <code>optimize.portfolio</code></dd></dl>

Arguments

Author

Generate the efficient frontier for a mean-variance portfolio — meanvar.efficient.frontier

<dl>

<dt>portfolio</dt>
<dd>a portfolio object with constraints 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 plot along the efficient frontier</dd>


<dt>risk_aversion</dt>
<dd>vector of risk_aversion values to construct the efficient frontier.
<code>n.portfolios</code> is ignored if <code>risk_aversion</code> is specified and the number
of points along the efficient frontier is equal to the length of <code>risk_aversion</code>.</dd>


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

</dl>

meanvar.efficient.frontier: Generate the efficient frontier for a mean-variance portfolio

Description

Usage

Value

Arguments

Author