meanvar.efficient.frontier {PortfolioAnalytics}

Generate the efficient frontier for a mean-variance portfolio

Description

This function generates the mean-variance efficient frontier of a portfolio specifying the constraints and objectives. The portfolio object should have two objectives: 1) mean and 2) var (or sd or StdDev). If the portfolio object does not contain these objectives, they will be added using default parameters.

Usage

meanvar.efficient.frontier(
  portfolio,
  R,
  optimize_method = "ROI",
  n.portfolios = 25,
  risk_aversion = NULL,
  ...
)

Arguments

portfolio

a portfolio object with constraints created via portfolio.spec

R

an xts or matrix of asset returns

optimize_method

the optimize method to get the efficient frontier, default is ROI

n.portfolios

number of portfolios to plot along the efficient frontier

risk_aversion

vector of risk_aversion values to construct the efficient frontier. n.portfolios is ignored if risk_aversion is specified and the number of points along the efficient frontier is equal to the length of risk_aversion.

...

passthru parameters to optimize.portfolio

Value

a matrix of objective measure values and weights along the efficient frontier

Author(s)

Ross Bennett