plot.Markowitz: Plot method of class Markowitz

Description Usage Arguments Author(s) Examples

View source: R/plot.Markowitz.R

Description

Plot efficient frontier. The efficient frontier is a plot of portfolio expected return vs. portfolio standard deviation for a collection of mean-variance efficient portfolios - portfolios that minimize variance subject to a target expected return.

Usage

1
2
## S3 method for class 'Markowitz'
plot(x, plot.assets = FALSE, ...)

Arguments

x

object of class Markowitz

plot.assets

if TRUE then plot asset sd and er with asset name labels

...

additional arguments passed to plot()

Author(s)

Eric Zivot

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
# construct the data
asset.names = c("MSFT", "NORD", "SBUX")
er = c(0.0427, 0.0015, 0.0285)
names(er) = asset.names
covmat = matrix(c(0.0100, 0.0018, 0.0011,
                  0.0018, 0.0109, 0.0026,
                  0.0011, 0.0026, 0.0199),
                nrow=3, ncol=3)
r.free = 0.005
dimnames(covmat) = list(asset.names, asset.names)

# tangency portfolio
tan.port <- tangency.portfolio(er, covmat, r.free)
# compute global minimum variance portfolio
gmin.port = globalMin.portfolio(er, covmat)

# compute portfolio frontier
ef <- efficient.frontier(er, covmat, alpha.min=-2,
                         alpha.max=1.5, nport=20)
attributes(ef)

plot(ef)
plot(ef, plot.assets=TRUE, col="blue", pch=16)
points(gmin.port$sd, gmin.port$er, col="green", pch=16, cex=2)
points(tan.port$sd, tan.port$er, col="red", pch=16, cex=2)
text(gmin.port$sd, gmin.port$er, labels="GLOBAL MIN", pos=2)
text(tan.port$sd, tan.port$er, labels="TANGENCY", pos=2)
sr.tan = (tan.port$er - r.free)/tan.port$sd
abline(a=r.free, b=sr.tan, col="green", lwd=2)

IntroCompFinR documentation built on May 31, 2017, 2:01 a.m.