weights-Slider: Portfolio Weights Slider

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Portfolio Weights Slider

Description

Interactive portfolio weights plot.

Usage

     
weightsSlider(object, control = list(), ...)

Arguments

control	a list, defining the plotting parameters. The list modifies amongst others the color, e.g. minvariance.col, type of point, e.g. tangency.pch, or the dimension of the point, e.g. cml.cex, see Notes for a complete list of control parameters.
object	an S4 object of class fPORTFOLIO.
...	optional arguments to be passed.

Details

The slider has illustrative objectives. The function expects an S4 object of class fPORTFOLIO.

The weights slider gives an overview of the weights on the efficient frontier. Three weight plots weightsPlot, piePlot and the not stacked weights and a frontier plot with the single assets, the tangency portfolio and a legend are provided. In the two weights plots the vertical line indicates the current portfolio and a dotted one indicates the minimum variance portfolio. The number in the pie plot stands for the asset and the sign shows whether this asset is short or long. In all plots colors represent the same asset.

Value

Creates interactive plots.

Control Parameters

In the following all elements of argument control from functions plot, weightsSlider, frontierSlider are listed.

sliderResolution

a numeric, determining the numbers of slider points, by default nFrontierPoints/10.

sliderFlag

a character string, denoting the slidertype, by default "frontier" for frontierSlider and "weights" for weightsSlider.

sharpeRatio.col

a character string, defining color of the Sharpe ratio plot, by default "black".

minvariance.col

a character string, defining color of the minimum variance portfolio, by default "red".

tangency.col

a character string, defining color of the tangency portfolio, by default "steelblue".

cml.col

a character string, defining color of the market portfolio and the capital market line, by default "green".

equalWeights.col

a character string, defining the color of the equal weights portfolio, by default "blue".

runningPoint.col

a character string, defining color of the point indicating the current portfolio, by default "red".

singleAsset.col

a character string vector, defining color of the single asset portfolios. The vector must have length the number of assets, by default rainbow.

twoAssets.col

a character string, defining color of the two assets efficient frontier, by default "grey".

monteCarlo.col

a character string, defining color of the Monte Carlo portfolios, by default "black".

minvariance.pch

a number, defining symbol used for the minimum variance portfolio. See points for description. Default symbol is 17.

tangency.pch

a number, defining symbol used for the tangency portfolio. See points for description. Default symbol is 17.

cml.pch

a number, defining symbol used for the market portfolio. See points for description. Default symbol is 17.

equalWeights.pch

a number, defining symbol used for the equal weights portfolio. See points for description. Default symbol is 15.

singleAsset.pch

a number, defining symbol used for the single asset portfolios. See points for description. Default symbol is 18.

sharpeRatio.cex

a number, determining size (percentage) of the Sharpe ratio plot, by default 0.1.

minvariance.cex

a number, determining size (percentage) of the minimum variance portfolio symbol, by default 1.

tangency.cex

a number, determining size (percentage) of the tangency portfolio symbol, by default 1.25.

cml.cex

a number, determining size (percentage) of the market portfolio symbol, by default 1.25.

equalWeights.cex

a number, determining size (percentage) of the equal weights portfolio symbol, by default 0.8.

runningPoint.cex

a number, determining size (percentage) of the point indicating the current portfolio equal weights portfolio symbol, by default 0.8.

singleAsset.cex

a number, determining size (percentage) of the singel asset portfolio symbols, by default 0.8.

twoAssets.cex

a number, determining size (percentage) of the two assets efficient frontier plot, by default 0.01.

monteCarlo.cex

a number, determining size (percentage) of the Monte Carol portfolio symbols, by default 0.01.

monteCarlo.cex

a number, determining size (percentage) of the Monte Carol portfolio symbols, by default 0.01.

mcSteps

a number, determining number of Monte Carol portfolio, by default 5000.

pieR

a vector, containing factors for shrinking and stretching the x- and y-axis, by default NULL, i.e. c(1, 1) is used. Default pie size is 1/15 of the plot range.

piePos

a number, determining the weight on the efficient frontier, which is illustrated by the pie. Default is tangency portfolio

pieOffset

a vector, containing the pie's x- and y-axis offset from the efficient frontier. Default is NULL, i.e. the pie is set one default radius left of the efficient frontier.

xlim

a vector, containing x-axis plot limits of the efficient frontier. Default setting is maximum of frontier range or single assets portfolios.

ylim

a vector, containing y-axis plot limits of the efficient frontier. Default setting is maximum of frontier range or single assets portfolios.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on Jan. 14, 2024, 8:21 p.m.