risk-surfaceRisk: Surface Risk Analytics

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Description

Functions for surface risk analytics.

Usage

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 March 26, 2020, 9:17 p.m.