[問題] 在 fportfolio package的risk code
Hello,
I have a problem with fPortfolio recently. I am using below code:
Data = read.table("hf.txt",header = TRUE,sep = "")
Data = Data[, c("SP500", "NASDAQ", "JPM")]
d = as.timeSeries(Data)
class(d)
Spec = portfolioSpec()
setNFrontierPoints(Spec) = 1000
setRiskFreeRate(Spec) = 3
Constraints = "both"
Frontier = portfolioFrontier(d, Spec, Constraints)
frontierPlot(Frontier, pch = 19, col = c("black", "grey"), add = FALSE, labels = TRUE,
return = c("mean"), risk = c("Cov"), auto = TRUE, title = TRUE)
~~~~~~~~~~
有關frontierPlot code
當我key入Sigma在風險的code時
如下所示
frontierPlot(Frontier, pch = 19, col = c("black", "grey"), add = FALSE, labels = TRUE,
return = c("mean"), risk = c("Sigma"), auto = TRUE, title = TRUE)
~~~~~~~~~~~~
竟然出現相同的圖形!!!
WHY? I use the different risk code
Could you tell me what the problem is?
much THANKS
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