mathWtsEfrontRiskyMuCov function

Efficient Frontier Portfolio Weights Vectors

Same as function "mathWtsEfrontRisky" except that instead a user specified time series of portfolio asset returns, it is based on user specified returns mean vector and covariance matrix

mathWtsEfrontRiskyMuCov(muRet, volRet, corrRet, mu.efront, digits = NULL)

Arguments

• muRet: Vector of asset mean returns
• volRet: Vector of asset volatilities
• corrRet: Asset correlation matrix
• mu.efront: A vector of specified efficient frontier mean returns
• digits: Integer number of significant digits with default NULL

Returns

A matrix whose first row contains the mean returns along the efficient frontier, the second row contains the corresponding volatilities, and the remaining rows contain the components of the corresponding weight vectors.

Examples

args(mathWtsEfrontRiskyMuCov)