PCRA (version 1.2)

mathEfrontCashRisky: Math Efficient Frontier: Cash and Risky Assets

Description

This function computes and plots a linear efficient frontier that is a mix of a risk-free asset ("cash") and risky stocks (or other assets). It optionally returns the weights along the linear efficient frontier.

Usage

mathEfrontCashRisky(
  returns,
  npoints = 10,
  rf = 0.003,
  plot.efront = TRUE,
  stock.names = TRUE,
  values = FALSE,
  scalex = 1.1,
  scaley = 1.1,
  cexPoints = 0.8,
  cexText = 0.8
)

Value

default is no value returned, and a plot is displayed of the linear efficient frontier. Optionally, a numeric object containing the weights along the linear efficient frontier are displayed. Optionally no plot is displayed.

Arguments

returns

Risky asset returns multivariate xts object

npoints

Number of efficient frontier points with default 10

rf

A risk-free rate with default 0.003

plot.efront

Logical variable which if TRUE results in a plot of

stock.names

Logical variable with default TRUE

values

Logical variable for returning efront values with default FALSE

scalex

Horizontal axis scale parameter with default 1.1

scaley

Vertical axis scale parameter with default 1.1

cexPoints

Numerical size parameter for points with default 0.8

cexText

Numerical size parameter for text with default 0.8

Examples

args(mathEfrontCashRisky)