Hi
I'm working on getting frontier efficient plot using Black Litterman model.
I have used Blcop package and its function
optimalPortfolio.optim()
using this i have got optimal risk and return with weights
If i want to get 10 portfolio risk and return with corresponding weights,,,
how to do it>?
can anyone help me....
my code goes like this
posterior <- posteriorEst(views, tau = 0.025, meanret, covar)
cons <- c("minW[1:numtk] = rep(0, times = numtk)", "maxW[1:numtk] =
rep(0.50, times = numtk)","minsumW[1:numtk] = 0","maxsumW[1:numtk] = 1")
#"listF = list(lowerExtension, upperExtension)")
res1<-optimalPortfolios.fPort(posterior,
spec=portfolioSpec(),constraints=cons,optimizer =
"minriskPortfolio",numSimulations = 10)
Thanks
MUKESH
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