PortfolioAnalytics: meanetl.efficient.frontier – R documentation

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meanetl.efficient.frontier

Generate the efficient frontier for a mean-etl portfolio

Description

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

Usage

meanetl.efficient.frontier(portfolio, R, n.portfolios = 25, ...)

Arguments

`portfolio`	a portfolio object with constraints and objectives created via `portfolio.spec`
`R`	an xts or matrix of asset returns
`n.portfolios`	number of portfolios to generate the efficient frontier
`...`	passthru parameters to `optimize.portfolio`

Value

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

Author(s)

Ross Bennett

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]

Initial release

2018-05-17