mathTport function

Tangency Portfolio Weights

Computes the portfolio weights of the tangency portfolio, and its mean return and volatility. The tangency portfolio is defined by the line connecting the zero volatility risk-free rate to its tangency point on the efficient frontier.

mathTport(returns, rf = 0.005, digits = NULL)

Arguments

• returns: A vector or xts object
• rf: The risk-free rate, default 0.005
• digits: Number of significant digits default NULL

Returns

Tangency portfoliow weights, mean and volatility

Examples

args(mathTport)