risk-surfaceRisk: Surface Risk Analytics

Description Usage Arguments References

Description

Functions for surface risk analytics.

Usage

1
2
3
4
5
6
7
8
markowitzHull(data, nFrontierPoints=50)
feasibleGrid(hull, trace=FALSE)
bestDiversification(grid, FUN="var", trace=FALSE)
riskSurface(diversification, FUN=NULL, ...)

surfacePlot(surface, type=c("image", "filled.contour"), nlevels=11, 
    palette=topo.colors, addContour=TRUE, addGrid=TRUE, addHull=TRUE, 
    addAssets=TRUE, ...)

Arguments

data

data

hull

hull

surface

surface

diversification

diversification

FUN

FUN

grid

grid

nFrontierPoints

nFrontierPoints

trace

trace

type

type

nlevels

nlevels

palette

palette

addContour

addContour

addGrid

addGrid

addHull

addHull

addAssets

addAssets

...

optional arguments

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 Nov. 17, 2017, 5:55 a.m.