In fPortfolio one can derive efficient portfolios using a variety of risk
estimators. One such is Kendall's rank estimator.
In plotting the results of the estimation, one can use the function
frontierPlot which plots the efficient frontier.
One option within frontierPlot appears to allow the selection of the risk
used to plot the efficient frontier.
But if I calculate the frontier using the Kendall method (stored in f9) and
plot two frontiers using frontierPlot,
they appear on the same horizontal risk-scale. Shouldn't the two scales be
different?

Charles Ward
ICMA Centre, University of Reading. UK.

#Kendall rank Estimator
spec09=portfolioSpec()
setNFrontierPoints(spec09)=20
setEstimator(spec09)="kendallEstimator"

kendallEstimator =
function (x,spec=NULL,...) {
mu=colMeans(x)
Sigma=cov(x, method="kendall")
list(mu=mu, Sigma=Sigma)}
f9 = portfolioFrontier(data,spec09)

frontierPlot(f9,risk=c("Sig"),col=c("black","green"))
frontierPlot(f9,risk=c("Cov"),col=c("red","blue"))

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