mathWtsEfrontRiskyMuCov {PCRA} | R Documentation |
Efficient Frontier Portfolio Weights Vectors
Description
Same as function "mathWtsEfrontRisky"
except that
instead a user specified time series of portfolio asset returns, it is
based on user specified returns mean vector and covariance matrix
Usage
mathWtsEfrontRiskyMuCov(muRet, volRet, corrRet, mu.efront, digits = NULL)
Arguments
muRet |
Vector of asset mean returns |
volRet |
Vector of asset volatilities |
corrRet |
Asset correlation matrix |
mu.efront |
A vector of specified efficient frontier mean returns |
digits |
Integer number of significant digits with default NULL |
Value
A matrix whose first row contains the mean returns along the efficient frontier, the second row contains the corresponding volatilities, and the remaining rows contain the components of the corresponding weight vectors.
Examples
args(mathWtsEfrontRiskyMuCov)
[Package PCRA version 1.2 Index]