mathTport {PCRA}

Tangency Portfolio Weights

Description

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.

Usage

mathTport(returns, rf = 0.005, digits = NULL)

Arguments

returns

A vector or xts object

rf

The risk-free rate, default 0.005

digits

Number of significant digits default NULL

Value

Tangency portfoliow weights, mean and volatility

Examples

args(mathTport)