mathEfrontRiskyMuCov function

Efficient Frontier

Computes a frontier or efficient frontier based on user specified mean vector and covariance matrix. Default is to compute the efficient frontier and plot it. Optionally the mean and volatility values of the frontier or efficient frontier is returned at a user specified number of significant digits.

mathEfrontRiskyMuCov(
  muRet,
  volRet,
  corrRet,
  npoints = 100,
  display = TRUE,
  efront.only = TRUE,
  values = FALSE,
  digits = NULL
)

Arguments

• muRet: Numeric vector of asset mean returns
• volRet: Numeric vector of asset standard deviations/volatilities
• corrRet: Correlation matrix of asset returns
• npoints: Integer number of points on efficient frontier, default 100
• display: Logical variable, default TRUE
• efront.only: Logical variable, default TRUE
• values: Logical variable, default = FALSE
• digits: Integer number of significant

Returns

Plot of efficient frontier

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(mathEfrontRiskyMuCov)