PCRA (version 1.2)

mathEfront: Efficient Frontiers from Returns

Description

Computes and plots the efficient frontier with and without risk-free asset, using a multivariate time series of returns to compute the mean vector and covariance matrix

Usage

mathEfront(
  returns,
  mu.max = NULL,
  sigma.max = NULL,
  rf = 0.003,
  rf.line = TRUE,
  stocks = TRUE,
  stock.names = TRUE,
  SRvalue = TRUE,
  npoints = 100,
  cexText = 0.8,
  cexPoints = 0.8,
  digits = NULL
)

Value

No value returned, instead a plot is displayed of the efficient frontier with cash and risky assets, with risky assets only efficient frontier overlaid

Arguments

returns

Multivariate xts object of portfolio returns

mu.max

Numeric value, default NULL

sigma.max

Numeric value, default NULL

rf

Numeric value with default 0.003

rf.line

Logical variable with default TRUE

stocks

Logical variable with default TRUE

stock.names

Logical variable with default TRUE

SRvalue

Logical variable with default TRUE

npoints

Integer number of efficient frontier points, default 100

cexText

Character expansion factor for text

cexPoints

Expansion factor for points

digits

Integer variable number of significant digits, default NULL

Details

When rf.line = TRUE, the linear efficient frontier is displayed, and it is not displayed when rf.line = FALSE. When values = TRUE, the Sharpe ratio and risk-free rate values are displayed in the plot as SHARPE RATIO and RISK-FREE values.

Examples

args(mathEfront)