PlotQuadraticEfficientFrontier
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Function Description
Returns a plot of a (constrained quadratic) efficient
frontier. More precisely, returns a string which is the (temporary) code for a SmartChart that plots such
information.
The efficient frontier is a plot of return versus risk for
portfolios which optimise the following utility (for a variety of riskreward
tradeoff factors, ), where is
a vector of portfolio weights, is a vector
of assumed returns on each asset and is the
covariance matrix (, where is
the vector of risks on each asset class, here assumed to be characterised by
their volatilities, as this approach is merely a meanvariance one, and their
correlation matrix):
Inputs are as per MnConstrainedQuadraticPortfolioOptimiser
(which is the web function used to calculate the underlying risk/return points
forming the efficient frontier) except that:
(a) An array of ’s
is supplied rather than a single value
(b) The user can select a
Title for the chart (using ChartTitle)
(c) An additional ChartFormat
parameter is available to specify how the chart should be formatted. For
further details on how to use the ChartFormat parameter to format a
chart see using the
ChartFormat parameter.
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