PCRA (version 1.2)

chart.Efront: Create Efficient Frontier

Description

Utility function for creating initial efficient frontier, and for creating subsequent bootstrap efficient frontiers created, all of which are created by the PortfolioAnalytics function create.EfficientFrontier.

Usage

chart.Efront(
  returns,
  pspec,
  firstEfront = TRUE,
  gmv = TRUE,
  maxSR = TRUE,
  rf = 0.003,
  xlim = NULL,
  ylim = NULL,
  xlab = NULL,
  ylab = NULL,
  n.portfolios = 10
)

Value

No value returned, instead plots of efficient frontiers for use by bootEfronts()

Arguments

returns

A multivarite xts returns object

pspec

PortfolioAnalytics portfolio specification object

firstEfront

Logical variable, default TRUE

gmv

Logical variable, default TRUE

maxSR

Logical variable, default TRUE

rf

Risk-free rate, default 0.003

xlim

Numeric value, default NULL

ylim

Numeric value, default NULL

xlab

Numeric value, default NULL

ylab

Numeric value, default NULL

n.portfolios

Number of efficient frontier portfolios, default 10

Details

The variable firstEfront is set to TRUE for the initial efficient frontier plot, but is set to FALSE for the bootstrap replicate efficient frontier plots. The choices gmv = TRUE and maxSR = TRUE result in bullet points at those locations on the initial efficient frontier plot

Examples

args(chart.Efront)