PlotQuadraticEfficientPortfolios
[this page | pdf | references | back links]
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 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 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.
NAVIGATION LINKS
Contents | Prev | Next
Links to:
-
Interactively run function
-
Interactive instructions
-
Example calculation
-
Output type / Parameter details
-
Illustrative spreadsheet
-
Other Charting functions
-
Computation units used
Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement