bootEfronts function

Bootstrapped Efficient Frontiers

Computes and plots bootstrapped portfolio efficient frontiers, with optional bullet points for GMV portfolios and tangency portfolios.

bootEfronts(
  returns,
  pspec,
  rf = 0.003,
  npoints = 20,
  B = 3,
  Seed = NULL,
  gmv = TRUE,
  maxSR = FALSE,
  xlim = NULL,
  ylim = NULL,
  k.sigma = 2,
  k.mu = 2,
  digits = 4,
  figTitle = NULL
)

Arguments

• returns: A multivarite xts returns object
• pspec: PortfolioAnalytics portfolio specification object
• rf: Risk-free rate as a decimal, default 0.003
• npoints: Number of points on efficient frontier, default 10
• B: Number of bootstrap samples, default 3
• Seed: Seed of bootstrap random number generator, default NULL
• gmv: Logical variable, default TRUE
• maxSR: Logical variable, default FALSE
• xlim: Numeric x axis plot limits, default NULL
• ylim: Numeric y axis plot limits, default NULL
• k.sigma: Numeric value
• k.mu: Numeric value
• digits: Number of significant digits for numeric values
• figTitle: Optional figure title, default NULL

Returns

No value returned, instead a bootstrapped efficient frontiers plot with options described in the above details.

Details

k.sigma controls horizontal axis plotting range if xlim = NULL, and k.mu controls vertical axis plotting range if ylim = NULL. Adjust k.mu and k.sigma to eliminate plot "Line out of bounds" Warnings. gmv = TRUE to display a bullet at global minimum variance portfolio maxSR = TRUE to display a bullet at tangency portfolio

Examples

args(bootEfronts)