frontierPoints: Get Frontier Points

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

Description

Extracts the risk and return coordinates of the efficient frontier.

Usage

frontierPoints(object, frontier = c("both", "lower", "upper"), 
    return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
    auto = TRUE)

Arguments

object	an object of class fPORTFOLIO.
frontier	a character string denoting which part of the efficient portfolio should be extractacted.
return	character strings denoting which return measure should be plotted. Allowed values for the return are either "mean", or "mu".
risk	character strings denoting which risk measure should be plotted. Allowed values for the risk measure are either "cov", "sigma", "VaR", or "CVaR".
auto	a logical flag. If auto is TRUE, the default setting, then the risk willbe identified automatically from the object.

Details

The automated risk detection, auto=TRUE takes the following decision:

    if (auto) {
        Type = getType(object)
        Estimator = getEstimator(object)
        if (Type == "MV") risk = "cov"
        if (Type == "MV" & Estimator != "covEstimator") risk = "sigma"
        if (Type == "QLPM") risk = "sigma"
        if (Type == "CVaR") risk = "CVaR" 
    }
    

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) 
   
## frontierPoints - 
   x = frontierPoints(Frontier, risk = "VaR", auto = FALSE)
   x = frontierPoints(Frontier, risk = "CVaR", auto = FALSE)

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