frontier-Plot: Efficient Frontier Plot

frontier-plotR Documentation

Efficient Frontier Plot

Description

Plots the efficient frontier of an optimized portfolio and allows to add points and lines from specif portfolios

Usage

frontierPlot(object, frontier = c("both", "lower", "upper"),
    col = c("black", "grey"), add = FALSE, labels = TRUE,
    return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
    auto = TRUE, title = TRUE, ...) 

minvariancePoints(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
cmlPoints(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
cmlLines(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
tangencyPoints(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
tangencyLines(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
equalWeightsPoints(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
singleAssetPoints(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
twoAssetsLines(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
sharpeRatioLines(object, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)

monteCarloPoints(object, mcSteps = 5000, return = c("mean", "mu"), 
    risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)

tailoredFrontierPlot(object,
    return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
    mText = NULL, col = NULL, xlim = NULL, ylim = NULL, 
    twoAssets = FALSE, sharpeRatio = TRUE, title = TRUE, ...)      

Arguments

object

an S4 object of class fPORTFOLIO, containing slots call, data, specification, constraints, portfolio, title, description.

frontier

a character string, determining which part of the frontier should be extracted. "both" stands for the full hyperbola, "lower" for all points below the minimum variance return and "upper" for the actual efficient frontier, by default "both".

col

a character string vector, setting the color. For frontierPlot it is a two dimensional a vector; first entry is the upper part of the frontier,
second entry the lower, by default "black" and "grey".
For the other functions the argument defines the color representation, by default sets the default color is the rainbow palette.

add

a logical value, determining whether the frontier should be added to an existing plot, by default FALSE.

return

a character string denoting which type of return should be plotted. Allowed values for the return are either "mean", or "mu".

risk

a character string denoting which type of risk should be plotted. Allowed values for the risk measure are either "cov", "sigma", "VaR", or "CVaR".

auto

a logical flag denoting if the type of return and risk to be plotted should be selected automatically, by default TRUE.

labels

a logical flag, should the plot be automatically labeled and decorated? By default TRUE.

title

a logical flag, should the plot obtain a default main title and x- and y-labels? By default TRUE.

mcSteps

an integer value, the number of Monte Carlo steps.

xlim, ylim

two numeric vectors with two elelemts , the plot range. If set to NULL the values for the plot ranges are determined automatically.

mText

a character string, representing a marginal text string. If set to NULL the value is taken from the title of the input frontier argument.

twoAssets

a logical flag, if TRUE, then the two assets frontier lines will be drawn.

sharpeRatio

a logical flag, if TRUE, then the Sharpe ratio will be added to the plot.

...

optional arguments to be passed.

Details

frontierPlot Plots efficient frontier,
minvariancePoints Adds minimum variance point,
cmlPoints Adds market portfolio,
cmlLines Adds capital market Line,
tangencyPoints Adds tangency portfolio point,
tangencyLines Adds tangency line,
equalWeightsPoints Adds point of equal weights portfolio,
singleAssetPoints Adds points of single asset portfolios,
twoAssetsLines Adds EF for all combinations of two assets,
sharpeRatioLines Adds Sharpe ratio line,
monteCarloPoints Adds randomly produced feasible portfolios,
tailoredFrontierPlot an example for a tailored plot.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.


fPortfolio documentation built on April 25, 2023, 9:11 a.m.