mathEfrontRisky {PCRA}

Efficient Frontier of Risky Stocks

Description

Computes and plots the efficient frontier of risky assets only, using a multivariate time series of returns to compute the mean vector and covariance matrix

Usage

mathEfrontRisky(
  returns,
  npoints = 100,
  efront.only = TRUE,
  display = TRUE,
  cexGmv = 0.9,
  pchPoints = 20,
  cexPoints = 1,
  cexText = 0.7,
  values = FALSE,
  digits = NULL
)

Arguments

returns

Multivariate xts object of portfolio returns

npoints

Integer number of efficient frontier points, with default 100

efront.only

Logical variable with default TRUE

display

If TRUE the efficient frontier is plotted

cexGmv

A size parameter for the text "GMV"

pchPoints

A parameter of the type of points

cexPoints

A size parameter of points

cexText

A size parameter of text

values

Logical variable with default TRUE

digits

Integer variable number of significant digits, default NULL

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.

Value

no values are returned by default, and a plot is displayed of the either the risky assets only efficient frontier, or the entire frontier. Optionally, the values of the mean and volatility along the efficient frontier are returned.

Examples

args(mathEfrontRisky)