weightsPlot: Portfolio Weights Pie Plots

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

Description

Displays plots of weights, investments, covariance and tail risk budgets.

Usage

   
weightsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)
    
weightedReturnsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)
    
covRiskBudgetsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)
    
tailRiskBudgetsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)

Arguments

object	an S4 object of class fPORTFOLIO, as returned by one of the portfolio functions, e.g. efficientPortfolio or portfolioFrontier.
labels	a logical flag, determining if the the graph should be labeled automatically, which is the default case labels=TRUE. If set to FALSE then the graph will be displayed undecorated and the user can it decorate by himself.
col	a character string vector, defined from a color palette. The default setting uses the "Blues" seqPalette palette.
title	a logical flag. Should automatically a title and axis labels be added to the plot.
mtext	a logical flag. Should automatically a margin text added to the right hand side plot?
box	a logical flag, determining whether a boxed frame should be plotted around the pie, by default the value is set to TRUE.
legend	a logical value, determining if the the graph should be labeled automatically, shich is the default case labels=TRUE. If set to FALSE then the graph will be displayed undecorated and the user can it decorate by himself. Evenmore, if labels takes the value of a string vector, then the names of the assets from the porftolio object will be ignored, and the labels will be taken from the specified string vector.
...	additional arguments passed to the function barplot. Only active if labels=FALSE.

Details

These barplots plots allow for different views on the results obtained from a feasible or an optimized portfolio.

The function weightsPlot displays the weights composition along the frontier of a portfolio.

The function weightedReturnsPlot displays the investment composition, i.e. the weighted returns along the frontier of a portfolio.

The function covRiskBudgetsPlot displays the covariance risk budgets composition along the frontier of a portfolio.

The function tailRiskBudgetsPlot displays the copulae tail risk budgets composition along the frontier of a portfolio. Note, this is only possible if in the portfolio specificsation a copulae tail risk is defined.

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")]

## portfolioFrontier -
   Frontier = portfolioFrontier(Data)
   
## weightsPlot -
   weightsPlot(Frontier)

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