risk-surfaceRisk {fPortfolio}

Surface Risk Analytics

Description

Functions for surface risk analytics.

Usage

markowitzHull(data, nFrontierPoints=50)
feasibleGrid(hull, trace=FALSE)

Arguments

data

data

hull

hull

nFrontierPoints

nFrontierPoints

trace

trace

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.