efficient frontiers - rhochreiter/scenportopt GitHub Wiki

# 1. Load library and use demo data (DJIA, 2012, weekly returns)
library("scenportopt")
data(djia2012w)

# 2. Plot a Markowitz efficient frontier
model <- optimal.portfolio(data)
frontier <- efficient.frontier(model)
plot(frontier)

# 3. Plot a CVaR efficient frontier
# shortcut: plot(efficient.frontier(optimal.portfolio(objective(model, "cvar"))))
model <- optimal.portfolio(objective(model, "cvar"))
frontier_cvar <- efficient.frontier(model)
plot(frontier_cvar)