Hello,
I have a problem with fPortfolio recently. I am using below code:
Data = read.table("hf.txt",header = TRUE,sep = "")
Data = Data[, c("CA", "SS", "EM", "EMN",
"ED", "DS", "MS", "RA", "FIA",
"GM", "LSE", "MF", "SP500",
"NASDAQ", "JPM")]
d = as.timeSeries(Data)
class(d)
Spec = portfolioSpec()
setNFrontierPoints(Spec) = 1000
setRiskFreeRate(Spec) = 3
Constraints = "both"
Frontier = portfolioFrontier(d, Spec, Constraints)
frontierPlot(Frontier, pch = 19, col = c("black", "grey"),
add = FALSE,
labels = TRUE,
return = c("mean"), risk = c("Cov"), auto = TRUE, title =
TRUE)
~~~~~~~~~~
About the frontierPlot code
when I use Sigma in the risk code:
frontierPlot(Frontier, pch = 19, col = c("black", "grey"),
add = FALSE,
labels = TRUE,
return = c("mean"), risk = c("Sigma"), auto = TRUE, title =
TRUE)
~~~~~~~~~~~~
there are the same plot!!!
WHY? I use the different risk code
Could you tell me what the problem is?
much THANKS
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