mathEfrontCashRisky function

Math Efficient Frontier: Cash and Risky Assets

This function computes and plots a linear efficient frontier that is a mix of a risk-free asset ("cash") and risky stocks (or other assets). It optionally returns the weights along the linear efficient frontier.

mathEfrontCashRisky(
  returns,
  npoints = 10,
  rf = 0.003,
  plot.efront = TRUE,
  stock.names = TRUE,
  values = FALSE,
  scalex = 1.1,
  scaley = 1.1,
  cexPoints = 0.8,
  cexText = 0.8
)

Arguments

• returns: Risky asset returns multivariate xts object
• npoints: Number of efficient frontier points with default 10
• rf: A risk-free rate with default 0.003
• plot.efront: Logical variable which if TRUE results in a plot of
• stock.names: Logical variable with default TRUE
• values: Logical variable for returning efront values with default FALSE
• scalex: Horizontal axis scale parameter with default 1.1
• scaley: Vertical axis scale parameter with default 1.1
• cexPoints: Numerical size parameter for points with default 0.8
• cexText: Numerical size parameter for text with default 0.8

Returns

default is no value returned, and a plot is displayed of the linear efficient frontier. Optionally, a numeric object containing the weights along the linear efficient frontier are displayed. Optionally no plot is displayed.

Examples

args(mathEfrontCashRisky)