bootEfronts {PCRA}

Bootstrapped Efficient Frontiers

Description

Computes and plots bootstrapped portfolio efficient frontiers, with optional bullet points for GMV portfolios and tangency portfolios.

Usage

bootEfronts(
  returns,
  pspec,
  rf = 0.003,
  npoints = 20,
  B = 3,
  Seed = NULL,
  gmv = TRUE,
  maxSR = FALSE,
  xlim = NULL,
  ylim = NULL,
  k.sigma = 2,
  k.mu = 2,
  digits = 4,
  figTitle = NULL
)

Arguments

returns

A multivarite xts returns object

pspec

PortfolioAnalytics portfolio specification object

rf

Risk-free rate as a decimal, default 0.003

npoints

Number of points on efficient frontier, default 10

B

Number of bootstrap samples, default 3

Seed

Seed of bootstrap random number generator, default NULL

gmv

Logical variable, default TRUE

maxSR

Logical variable, default FALSE

xlim

Numeric x axis plot limits, default NULL

ylim

Numeric y axis plot limits, default NULL

k.sigma

Numeric value

k.mu

Numeric value

digits

Number of significant digits for numeric values

figTitle

Optional figure title, default NULL

Details

k.sigma controls horizontal axis plotting range if xlim = NULL, and k.mu controls vertical axis plotting range if ylim = NULL. Adjust k.mu and k.sigma to eliminate plot "Line out of bounds" Warnings. gmv = TRUE to display a bullet at global minimum variance portfolio maxSR = TRUE to display a bullet at tangency portfolio

Value

No value returned, instead a bootstrapped efficient frontiers plot with options described in the above details.

Examples

args(bootEfronts)