This function generates the mean-variance efficient frontier of a portfolio
specifying the constraints and objectives. The portfolio 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.
meanvar.efficient.frontier(
portfolio,
R,
optimize_method = "ROI",
n.portfolios = 25,
risk_aversion = NULL,
...
)a matrix of objective measure values and weights along the efficient frontier
a portfolio object with constraints 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 plot along the efficient frontier
vector of risk_aversion values to construct the efficient frontier.
n.portfolios is ignored if risk_aversion is specified and the number
of points along the efficient frontier is equal to the length of risk_aversion.
passthru parameters to optimize.portfolio
Ross Bennett