mathEfront function

Efficient Frontiers from Returns

Computes and plots the efficient frontier with and without risk-free asset, using a multivariate time series of returns to compute the mean vector and covariance matrix

mathEfront(
  returns,
  mu.max = NULL,
  sigma.max = NULL,
  rf = 0.003,
  rf.line = TRUE,
  stocks = TRUE,
  stock.names = TRUE,
  SRvalue = TRUE,
  npoints = 100,
  cexText = 0.8,
  cexPoints = 0.8,
  digits = NULL
)

Arguments

• returns: Multivariate xts object of portfolio returns
• mu.max: Numeric value, default NULL
• sigma.max: Numeric value, default NULL
• rf: Numeric value with default 0.003
• rf.line: Logical variable with default TRUE
• stocks: Logical variable with default TRUE
• stock.names: Logical variable with default TRUE
• SRvalue: Logical variable with default TRUE
• npoints: Integer number of efficient frontier points, default 100
• cexText: Character expansion factor for text
• cexPoints: Expansion factor for points
• digits: Integer variable number of significant digits, default NULL

Returns

No value returned, instead a plot is displayed of the efficient frontier with cash and risky assets, with risky assets only efficient frontier overlaid

Details

When rf.line = TRUE, the linear efficient frontier is displayed, and it is not displayed when rf.line = FALSE. When values = TRUE, the Sharpe ratio and risk-free rate values are displayed in the plot as SHARPE RATIO and RISK-FREE values.

Examples

args(mathEfront)