mathWtsEfrontRisky function

Efficient Frontier Portfolio Weights Vectors

Uses time series of asset returns to compute the weights vectors for a set of points along the efficient frontier that are defined by their mean return values

mathWtsEfrontRisky(returns, mu.efront, digits = NULL)

Arguments

• returns: A multivariate xts object of n asset returns
• mu.efront: A vector of specified efficient frontier mean returns
• digits: Integer number of significant digits with default NULL

Returns

A matrix with first row containing the mean (MU) along the efficient frontier, the second row containing the standard deviation, and the following n rows contain the n weight vectors along the efficient fronier

Examples

args(mathWtsEfrontRisky)