mathTport

Computes the portfolio weights of the tangency portfolio, and
its mean return and volatility. The tangency portfolio is defined by the
line connecting the zero volatility risk-free rate to its tangency point on
the efficient frontier.

A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course.  The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects.  The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.

Doug Martin

PCRA

Companion to Portfolio Construction and Risk Analysis

Alexios Galanos

Kirk Li

Jon Spinney

Thomas Philips

mathTport function

<dl><dt>returns</dt>
<dd>A vector or xts object</dd>
<dt>rf</dt>
<dd>The risk-free rate, default 0.005</dd>
<dt>digits</dt>
<dd>Number of significant digits default NULL</dd></dl>

Arguments

Tangency Portfolio Weights — mathTport

<dl>

<dt>returns</dt>
<dd>A vector or xts object</dd>


<dt>rf</dt>
<dd>The risk-free rate, default 0.005</dd>


<dt>digits</dt>
<dd>Number of significant digits default NULL</dd>

</dl>

mathTport: Tangency Portfolio Weights

Description

Usage

Value

Arguments

Examples