chart.RiskBudget: Generic method to chart risk contribution

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

This function is the generic method to chart risk budget objectives for optimize.portfolio, optimize.portfolio.rebalancing, and opt.list objects. This function charts the contribution or percent contribution of the resulting objective measures of a risk_budget_objective. The risk contributions for optimize.portfolio.rebalancing objects are plotted through time with chart.StackedBar.

Usage

chart.RiskBudget(object, ...)

## S3 method for class 'optimize.portfolio'
chart.RiskBudget(object, ..., neighbors = NULL,
  risk.type = "absolute", main = "Risk Contribution", ylab = "",
  xlab = NULL, cex.axis = 0.8, cex.lab = 0.8,
  element.color = "darkgray", las = 3, ylim = NULL)

## S3 method for class 'optimize.portfolio.rebalancing'
chart.RiskBudget(object, ...,
  match.col = "ES", risk.type = "absolute", regime = NULL,
  main = "Risk Contribution")

## S3 method for class 'opt.list'
chart.RiskBudget(object, ..., match.col = "ES",
  risk.type = "absolute", main = "Risk Budget", plot.type = "line",
  cex.axis = 0.8, cex.lab = 0.8, element.color = "darkgray", las = 3,
  ylim = NULL, colorset = NULL, legend.loc = NULL, cex.legend = 0.8)

Arguments

object	optimal portfolio object created by optimize.portfolio or optimize.portfolio.rebalancing
...	any other passthru parameters to plot
neighbors	risk contribution or pct_contrib of neighbor portfolios to be plotted, see Details.
risk.type	"absolute" or "percentage" to plot risk contribution in absolute terms or percentage contribution.
main	main title for the chart.
ylab	label for the y-axis.
xlab	label for the x-axis.
cex.axis	the magnification to be used for axis annotation relative to the current setting of cex.
cex.lab	the magnification to be used for axis annotation relative to the current setting of cex.
element.color	provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
las	numeric in {0,1,2,3}; the style of axis labels 0: always parallel to the axis [default], 1: always horizontal, 2: always perpendicular to the axis, 3: always vertical.
ylim	set the y-axis limit, same as in plot
match.col	string of risk column to match. The opt.list object may contain risk budgets for ES or StdDev and this will match the proper column names of the objectives list outp (e.g. ES.contribution).
regime	integer of the regime number. For use with optimize.portfolio.rebalancing run with regime switching portfolios.
plot.type	"line" or "barplot".
colorset	color palette or vector of colors to use
legend.loc	legend.loc NULL, "topright", "right", or "bottomright". If legend.loc is NULL, the legend will not be plotted
cex.legend	The magnification to be used for the legend relative to the current setting of cex

Details

neighbors may be specified in three ways. The first is as a single number of neighbors. This will extract the neighbors closest to the portfolios in terms of the out numerical statistic. The second method consists of a numeric vector for neighbors. This will extract the neighbors with portfolio index numbers that correspond to the vector contents. The third method for specifying neighbors is to pass in a matrix. This matrix should look like the output of extractStats, and should contain properly named contribution and pct_contrib columns.

See Also

optimize.portfolio optimize.portfolio.rebalancing chart.StackedBar

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.