Dear R-Metrics Core Team

 

Here is my problem:

 

I want to hand in a vector of expected returns and a covariance matrix
to the function "portfolioFrontier", i.e. these two variables shall not
be estimated from the data. Ideally, I would be able to set something
like:

 

Returns = my_return_vector

Risk = my_cov_matrix

 

and the optimizer then uses these for the MV-optimization.

 

I have studied the docs and seen the statements like

 

"data: a list, having a statistics named list, having named entries 'mu'
and 'Sigma',

Containing the information of the statistics."

 

But I was not able to specify it correctly.

 

Can you help me out? Many many thanks in advance.

 

Best regards

Andreas Homberger


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