efficientFrontier_v1.R

effFrontier_v1.R

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))
}