Usage
"portfolio.optim"(x, pm = mean(x), riskless = FALSE, shorts = FALSE, rf = 0.0, reslow = NULL, reshigh = NULL, covmat = cov(x), ...)
Arguments
x
a numeric matrix or multivariate time series consisting of a
series of returns.
pm
the desired mean portfolio return.
riskless
a logical indicating whether there is a riskless
lending and borrowing rate.
shorts
a logical indicating whether shortsales on the risky
securities are allowed.
rf
the riskfree interest rate.
reslow
a vector specifying the (optional) lower bound on
allowed portfolio weights.
reshigh
a vector specifying the (optional) upper bound on
allowed portfolio weights.
covmat
the covariance matrix of asset returns.
...
further arguments to be passed from or to methods.