mathWtsEfrontRiskyMuCov

Same as function <code>"mathWtsEfrontRisky"</code> except that
instead a user specified time series of portfolio asset returns, it is
based on user specified returns mean vector and covariance matrix

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

mathWtsEfrontRiskyMuCov function

<dl><dt>muRet</dt>
<dd>Vector of asset mean returns</dd>
<dt>volRet</dt>
<dd>Vector of asset volatilities</dd>
<dt>corrRet</dt>
<dd>Asset correlation matrix</dd>
<dt>mu.efront</dt>
<dd>A vector of specified efficient frontier mean returns</dd>
<dt>digits</dt>
<dd>Integer number of significant digits with default NULL</dd></dl>

Arguments

Efficient Frontier Portfolio Weights Vectors — mathWtsEfrontRiskyMuCov

<dl>

<dt>muRet</dt>
<dd>Vector of asset mean returns</dd>


<dt>volRet</dt>
<dd>Vector of asset volatilities</dd>


<dt>corrRet</dt>
<dd>Asset correlation matrix</dd>


<dt>mu.efront</dt>
<dd>A vector of specified efficient frontier mean returns</dd>


<dt>digits</dt>
<dd>Integer number of significant digits with default NULL</dd>

</dl>

mathWtsEfrontRiskyMuCov: Efficient Frontier Portfolio Weights Vectors

Description

Usage

Value

Arguments

Examples