portfolioFrontier         package:fPortfolio         R Documentation

_E_f_f_i_c_i_e_n_t _P_o_r_t_f_o_l_i_o _F_r_o_n_t_i_e_r

_D_e_s_c_r_i_p_t_i_o_n:

     Compoutes the efficient portfolio frontier.

_U_s_a_g_e:

     portfolioFrontier(data, spec = portfolioSpec(), constraints = "LongOnly",
         include.mvl = TRUE, title = NULL, description = NULL)

_A_r_g_u_m_e_n_t_s:

constraints: a character string vector, containing the constraints of
          the form
           '"minW[asset]=percentage"' for box constraints resp. 
           '"maxsumW[assets]=percentage"' for sector constraints. 

    data: a multivariate time series described by an S4 object of class
          'timeSeries'. If your timeSerie is not a 'timeSeries' object,
          consult the generic function 'as.timeSeries' to  convert your
          time series. 

description: a character string which allows for a brief description.  

include.mvl: a logical flag, should the minimum variance locus be added
          to the  plot?  

    spec: an S4 object of class 'fPFOLIOSPEC' as returned by the
          function 'portfolioSpec'. 

   title: a character string which allows for a project title. 

_D_e_t_a_i_l_s:

     *Portfolio Frontier:* 



     The function 'portfolioFrontier' calculates the whole efficient 
     frontier. The portfolio information consists of five arguments:
     data,  specifications, constraints, title and description. 

     The range of the frontier is determined from the range of the
     asset returns, and the number of equidistant points in the
     returns, is calculated from the number of frontier points hold in
     the specifrication  structure. To extract or to modify the number
     of frontier points use the functions 'getNFrontierPoints' and
     'setNFrontierPoints'.

     The 'frontierPortfolio' function returns the properties of  the
     the efficient frontier as an S4 object of class 'fPORTFOLIO'.

_V_a_l_u_e:

     'portfolioFrontier' function returns an S4 object of class 
     '"fPORTFOLIO"'.

_R_e_f_e_r_e_n_c_e_s:

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

_E_x_a_m_p_l_e_s:

     ## data -
        Data = SMALLCAP.RET
        Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
        Data
        
     ## spec -
        Spec = portfolioSpec()
        Spec
        setNFrontierPoints(Spec) = 10
        
     ## constraints -
        Constraints = "LongOnly"
        
     ## portfolioFrontier -
        portfolioFrontier(Data, Spec, Constraints)  

