I have a question about the function Return.portfolio/Return.rebalancing from the Performance Analytics package in R. I take ...
I have a matrix of 259 weekly returns, 50 assets and a portfolio composition for each of the 259 weeks. I would like to test the performance of the portfolio during 52 weeks, rebalancing every 12 ...
Let's say I am performing mean-variance optimization subject to some weight constraints. I'd like to identify the set of corner portfolios so that I can interpolate the entire efficient frontier. A ...