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efficientFrontier_v1.R
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| effFrontier = function (data, nports = 20, shorts=T,wmin=0, wmax=1) | |
| { | |
| rcov<-cov(data) | |
| averet<-colMeans(data) | |
| mxret = max((colMeans(data))) | |
| mnret = 0#-mxret Long only... | |
| n.assets = ncol(data) | |
| reshigh = rep(wmax,n.assets) | |
| if( shorts ) | |
| { | |
| reslow = rep(-wmax,n.assets) | |
| } else { | |
| reslow = rep(wmin,n.assets) | |
| } | |
| min.rets = seq(mnret, mxret, len = nports) | |
| vol = rep(NA, nports) | |
| ret = rep(NA, nports) | |
| pws = matrix(NA,ncol=n.assets, nrow=nports) | |
| for (k in 1:nports) | |
| { | |
| port.sol = NULL | |
| try(port.sol <- portfolio.optim(data, pm=min.rets[k], | |
| reshigh=reshigh, reslow=reslow,shorts=shorts),silent=T) | |
| if ( !is.null(port.sol) ) | |
| { | |
| vol[k] = sqrt(as.vector(port.sol$pw %*% rcov %*% port.sol$pw)) | |
| ret[k] = averet %*% port.sol$pw | |
| pws[k,] = port.sol$pw | |
| } | |
| } | |
| return(list(vol = vol, ret = ret,pws=pws)) | |
| } |
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