inst/BookEx/C12R9.R

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

## Surface plot with superimposed mdp solutions
## per standard deviation risk level
surfacePlot(surf, type = "filled.contour",
            palette = gray.colors, addHull = TRUE, addGrid = FALSE,
            addAssets = FALSE, xlab = "Target Risk", ylab = "Target Return",
            main = "Convex Hull with Risk Surface:\nStd.Dev. of MRC and MDP-line")
lines(x = dropt[, 2], y = dropt[, 1], col = "blue", lwd = 2)
box()
## Computing special points and plotting 
frontier <- portfolioFrontier(data)
MVP <- minvariancePoints(frontier)
TGP <- tangencyPoints(frontier)
sap <- singleAssetPoints(frontier)
wewp <- rep(1/NAssets, NAssets)
mewp <- crossprod(mu, wewp)
sewp <- sqrt(crossprod(wewp, Sigma) %*% wewp)
ERC <- PERC(Sigma)
werc <- Weights(ERC) / 100.0
merc <- crossprod(mu, werc)
serc <- sqrt(crossprod(werc, Sigma) %*% werc)
points(sap, col = "darkgreen", pch = 19, cex = 0.8)
text(sap, ANames, col = "darkred", cex = 0.6, pos = 4)
points(TGP, col = "tan", pch = 19, cex = 2.5)
text(TGP[1], TGP[2], "TGP", col = "purple", cex = 0.5)
points(x = sewp, y = mewp, col = "tan", pch = 19, cex = 2.5)
text(sewp, mewp, "EWP", col="purple", cex = 0.5)
points(x = serc, y = merc, col = "tan", pch = 19, cex = 2.5)
text(serc, merc, "ERC", col="purple", cex = 0.5)
points(MVP, col = "tan", pch = 19, cex = 2.5)
text(MVP[1], MVP[2], "MVP", col = "purple", cex = 0.5)