What is the correct way in the fportfolio package to determine the portfolio frontier with a forcasted returns vector and/or a  forecasted covariance matrix ?  I have no problem coming up with the portfolio frontier when historical returns data is provided. Where I'm having trouble is when I want to use forcasted returns and / or covariance matrix. I would think there should be a simple way to do this.


For example, if my historical data is in zts, then the following works


spec =portfolioSpec()
frontier <- portfolioFrontier(zts, spec)
frontierPlot(frontier, risk="Sigma", auto=FALSE)



class(zts)
[1] "timeSeries"
attr(,"package")
[1] "timeSeries"


head(zts)



> head(zts)
GMT
                  WBLRX        LSBRX        DBLTX         TFSHX           TBT          SPY
2012-11-09  0.003013563 -0.002106003 0.0000000000 -0.0036968619 -0.0312447930 -0.011253015
2012-11-16 -0.007045827 -0.003519891 0.0000000000 -0.0037105794 -0.0074161810 -0.013028288
2012-11-23  0.003025721  0.006326910 0.0000000000  0.0018570107  0.0337662016  0.035842966
2012-11-30  0.001006543  0.005590511 0.0018365478  0.0027790662 -0.0096968465  0.005695146
2012-12-07 -0.001006543  0.005559431 0.0009170106  0.0009246418  0.0008254231  0.001795526
2012-12-14  0.004020106  0.005528694 0.0009161705  0.0046104277  0.0134406219 -0.002155018



But suppose instead of using historical returns data, I want to use forecasted data (mu1 and covmat). How do I do something similar to portfolioFrontier and frontierPlot commands ?



> class(mu1)
[1] "numeric"
> class(covmat)
[1] "matrix"
> mu1
        WBLRX         LSBRX         DBLTX         TFSHX           TBT           SPY 
 0.0013537910  0.0010611297  0.0001845725 -0.0021064133  0.0032720265  0.0052493188 
> covmat
              WBLRX         LSBRX         DBLTX         TFSHX           TBT           SPY
WBLRX  8.980255e-05  5.538752e-06  3.384955e-06 -2.753534e-06 -2.347333e-05  6.669676e-06
LSBRX  5.538752e-06  5.017554e-05  1.297063e-05 -1.055112e-05 -8.994622e-05  2.555718e-05
DBLTX  3.384955e-06  1.297063e-05  1.848077e-05 -6.448218e-06 -5.496978e-05  1.561903e-05
TFSHX -2.753534e-06 -1.055112e-05 -6.448218e-06  4.277017e-05  4.471585e-05 -1.270549e-05
TBT   -2.347333e-05 -8.994622e-05 -5.496978e-05  4.471585e-05  1.388306e-03 -1.083118e-04
SPY    6.669676e-06  2.555718e-05  1.561903e-05 -1.270549e-05 -1.083118e-04  2.170639e-04











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