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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 risk-reward trade-off 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 mean-variance 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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