meaneqs.efficient.frontier {PortfolioAnalytics} | R Documentation |
This function generates the mean-EQS efficient frontier of a portfolio
specifying the constraints and objectives. The portfolio
object
should have two objectives: 1) mean and 2) EQS. If the
portfolio object does not contain these objectives, they will be added
using default parameters.
meaneqs.efficient.frontier(
portfolio,
R,
optimize_method = "CVXR",
n.portfolios = 25,
...
)
portfolio |
a portfolio object with constraints and objectives created via |
R |
an xts or matrix of asset returns |
optimize_method |
the optimize method to get the efficient frontier, default is CVXR |
n.portfolios |
number of portfolios to generate the efficient frontier |
... |
passthru parameters to |
a matrix of objective measure values and weights along the efficient frontier
Xinran Zhao