PlotQuadraticEfficientPortfolios
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Function Description
Returns a plot of the asset mixes underlying a (constrained
quadratic) efficient frontier. More precisely, returns a string which is the
(temporary) code for a SmartChart
that plots such information.
These asset mixes are the portfolios that 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 portfolios
contributing to the efficient frontier) except that:
(a) An array of ’s
is supplied rather than a single value
(a) The user can
select a Title for the chart (using ChartTitle)
(b) 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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