mathEfrontRisky function

Efficient Frontier of Risky Stocks

Computes and plots the efficient frontier of risky assets only, using a multivariate time series of returns to compute the mean vector and covariance matrix

mathEfrontRisky(
  returns,
  npoints = 100,
  efront.only = TRUE,
  display = TRUE,
  cexGmv = 0.9,
  pchPoints = 20,
  cexPoints = 1,
  cexText = 0.7,
  values = FALSE,
  digits = NULL
)

Arguments

• returns: Multivariate xts object of portfolio returns
• npoints: Integer number of efficient frontier points, with default 100
• efront.only: Logical variable with default TRUE
• display: If TRUE the efficient frontier is plotted
• cexGmv: A size parameter for the text "GMV"
• pchPoints: A parameter of the type of points
• cexPoints: A size parameter of points
• cexText: A size parameter of text
• values: Logical variable with default TRUE
• digits: Integer variable number of significant digits, default NULL

Returns

no values are returned by default, and a plot is displayed of the either the risky assets only efficient frontier, or the entire frontier. Optionally, the values of the mean and volatility along the efficient frontier are returned.

Details

When efront.only = TRUE only the efficient frontier is computed, and if FALSE the entire frontier is computed. When value = TRUE the efficient frontier mean and volatility values are returned, and when value = FALSE these values are not returned.

Examples

args(mathEfrontRisky)