Displaying 1 result from an estimated 1 matches for "setriskfreerate".
2010 Feb 03
0
About the risk code in the fportfolio package
...", "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)...