This function generates the mean-ETL efficient frontier of a portfolio
specifying the constraints and objectives. The portfolio 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.
meanetl.efficient.frontier(
portfolio,
R,
optimize_method = "ROI",
n.portfolios = 25,
...
)a matrix of objective measure values and weights along the efficient frontier
a portfolio object with constraints and objectives created via portfolio.spec
an xts or matrix of asset returns
the optimize method to get the efficient frontier, default is ROI
number of portfolios to generate the efficient frontier
passthru parameters to optimize.portfolio
Ross Bennett