Daniel P. Egan bestdan
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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 ) | |
| { |
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