frontierPlot: Efficient Frontier Plot

In tipdub/ZestFinance: Rmetrics - Portfolio Selection and Optimization - ebook available at www.rmetrics.org

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) 

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.
...	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.

Examples

## data -
   Data = SMALLCAP.RET
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
   Data

## portfolioFrontier -
   Frontier = portfolioFrontier(Data)
   Frontier
   
## frontierPlot -  
   frontierPlot(Frontier, pch = 19, xlim = c(0, 0.25), ylim = c(0, 0.035))
   grid()
   abline(h = 0, col = "grey")
   abline(v = 0, col = "grey")
   
## addon -
   minvariancePoints(Frontier, pch = 19, col = "red")
   tangencyPoints(Frontier, pch = 19, col = "blue")
   tangencyLines(Frontier, col = "blue")
   equalWeightsPoints(Frontier, pch = 15, col = "grey")
   singleAssetPoints(Frontier, pch = 19, cex = 1.5, col = topo.colors(6))
   twoAssetsLines(Frontier, lty = 3, col = "grey")
   sharpeRatioLines(Frontier, col = "orange", lwd = 2)

## Feasible Portfolios:
   frontierPlot(Frontier, col = c("orange", "orange"), pch = 19)
   monteCarloPoints(Frontier, mcSteps = 5000, cex = 0.25, pch = 19)
   twoAssetsLines(Frontier, lwd = 2, col = "orange")

tipdub/ZestFinance documentation built on May 31, 2019, 3:37 p.m.