PCRA (version 1.2)

mathEfrontRiskyMuCov: Efficient Frontier

Description

Computes a frontier or efficient frontier based on user specified mean vector and covariance matrix. Default is to compute the efficient frontier and plot it. Optionally the mean and volatility values of the frontier or efficient frontier is returned at a user specified number of significant digits.

Usage

mathEfrontRiskyMuCov(
  muRet,
  volRet,
  corrRet,
  npoints = 100,
  display = TRUE,
  efront.only = TRUE,
  values = FALSE,
  digits = NULL
)

Value

Plot of efficient frontier

Arguments

muRet

Numeric vector of asset mean returns

volRet

Numeric vector of asset standard deviations/volatilities

corrRet

Correlation matrix of asset returns

npoints

Integer number of points on efficient frontier, default 100

display

Logical variable, default TRUE

efront.only

Logical variable, default TRUE

values

Logical variable, default = FALSE

digits

Integer number of significant

Details

When efront.only = TRUE only the efficient frontier is computed, and if FALSE the entire frontier is computed. When value = TRUE the efficient frontier mean and volatility values are returned, and when value = FALSE these values are not returned.

Examples

args(mathEfrontRiskyMuCov)