portCloud: Plot a portfolio cloud

In jankcorn/stockPortfolio: Build stock models and analyze stock portfolios.

Description

Given a model with short-selling permitted, portCloud plots a cloud of possible portfolios.

Usage

portCloud(model, riskRange = 2, detail = 25, N = 3000, add = TRUE,
   col = c("#55550044"), pch = 20, subSamp = 1000, xlim = "default",
   ylim = "default", xlab = "Risk", ylab = "Return", ...)

Arguments

model	An object of class "stockModel".
riskRange	A factor to specify how large you would like the portfolio cloud to be. If X is the portfolio with minimum risk, then the portfolio cloud will look aesthetically best to approximately risk of riskRange*X.
detail	A parameter that adjusts the appearance of the portfolio cloud. The default value is often adequate.
N	A parameter for the number of portfolios to consider.
add	If TRUE, then the points are added to the plot. If FALSE, a new plot is created.
col	Color of the portfolios in the plot.
pch	Plotting character of the portfolios.
subSamp	The maximum number of portfolios to plot.
xlim	Limits for the x axis. Only applied if add=FALSE.
ylim	Limits for the y axis. Only applied if add=FALSE.
xlab	Label for the x axis. Only applied if add=FALSE.
ylab	Label for the y axis. Only applied if add=FALSE.
...	If add=FALSE, additional arguments for plot. If add=TRUE, additional arguments for points.

Details

Which portfolios are actually plotted is dependent on the portfolio possibilities curve. A number of points along the curve, specified by detail and the stocks themselves are used to produce a relatively uniform looking portfolio cloud.

Value

A list of the following items:

ports	The portfolios plotted.
R	The estimated return associated with each row of ports.
risk	The estimated risk associated with each row of ports.

Author(s)

David Diez and Nicolas Christou

See Also

stockModel, portPossCurve

Examples

data(stock94)
sm <- stockModel(stock94, model='SIM', index=25)
portCloud(sm, add=FALSE)
portPossCurve(sm, 2.5, add=TRUE)

jankcorn/stockPortfolio documentation built on May 14, 2019, 9:35 a.m.