create.EfficientFrontier.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/extract.efficient.frontier.R
\name{create.EfficientFrontier}
\alias{create.EfficientFrontier}
\title{create an efficient frontier}
\usage{
create.EfficientFrontier(
  R,
  portfolio,
  type,
  optimize_method = "CVXR",
  n.portfolios = 25,
  risk_aversion = NULL,
  match.col = "ES",
  search_size = 2000,
  ...
)
}
\arguments{
\item{R}{xts object of asset returns}

\item{portfolio}{object of class 'portfolio' specifying the constraints and objectives, see \code{\link{portfolio.spec}}.}

\item{type}{type of efficient frontier, see Details.}

\item{optimize_method}{the optimize method to get the efficient frontier, default is CVXR}

\item{n.portfolios}{number of portfolios to calculate along the efficient frontier}

\item{risk_aversion}{vector of risk_aversion values to construct the efficient frontier.
\code{n.portfolios} is ignored if \code{risk_aversion} is specified and the number
of points along the efficient frontier will be equal to the length of \code{risk_aversion}.}

\item{match.col}{column to match when extracting the efficient frontier from an objected created by \code{\link{optimize.portfolio}}.}

\item{search_size}{passed to \code{\link{optimize.portfolio}} for type="DEoptim" or type="random".}

\item{\dots}{passthrough parameters to \code{\link{optimize.portfolio}}.}
}
\value{
an object of class 'efficient.frontier' with the objective measures 
and weights of portfolios along the efficient frontier.
}
\description{
create an efficient frontier
}
\details{
Currently there are 4 'types' supported to create an efficient frontier:
\describe{
  \item{"mean-var", "mean-sd", or "mean-StdDev":}{ This is a special case for 
  an efficient frontier that can be created by a QP solver.
  The \code{portfolio} object should have two
  objectives: 1) mean and 2) var. If the portfolio object does not contain these 
  objectives, they will be added using default parameters.
  The efficient frontier will be created via
  \code{\link{meanvar.efficient.frontier}}.}
  \item{"mean-ETL", "mean-ES", "mean-CVaR", "mean-etl":}{ This is a special 
  case for an efficient frontier that can be created by an LP solver.
  The \code{portfolio} object should have two objectives: 1) mean
  and 2) ETL/ES/CVaR. If the portfolio object does not contain these 
  objectives, they will be added using default parameters.
  The efficient frontier is created via 
  \code{\link{meanetl.efficient.frontier}}.}
  \item{"mean-CSM":}{ This is a special 
  case for an efficient frontier that can be created by CVXR solvers.
  The \code{portfolio} object should have two objectives: 1) mean
  and 2) CSM. If the portfolio object does not contain these 
  objectives, they will be added using default parameters.
  The efficient frontier is created via 
  \code{\link{meanrisk.efficient.frontier}}.}
  \item{"mean-risk":}{ This is a special case for multiple efficient frontiers.
  The efficient frontier is created via 
  \code{\link{meanrisk.efficient.frontier}}.}
  \item{"DEoptim":}{ This can handle more complex constraints and objectives
  than the simple mean-var and mean-ETL cases. For this type, we actually 
  call \code{\link{optimize.portfolio}} with \code{optimize_method="DEoptim"}
  and then extract the efficient frontier with 
  \code{extract.efficient.frontier}.}
  \item{"random":}{ This can handle more complex constraints and objectives
  than the simple mean-var and mean-ETL cases. For this type, we actually 
  call \code{\link{optimize.portfolio}} with \code{optimize_method="random"}
  and then extract the efficient frontier with 
  \code{extract.efficient.frontier}.}
}
}
\seealso{
\code{\link{optimize.portfolio}}, 
\code{\link{portfolio.spec}}, 
\code{\link{meanvar.efficient.frontier}}, 
\code{\link{meanetl.efficient.frontier}}
}
\author{
Ross Bennett, Xinran Zhao
}