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\alias{minvariancePoints}
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\alias{equalWeightsPoints}
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\alias{singleAssetPoints}
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\alias{twoAssetsLines}
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\alias{sharpeRatioLines}
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\alias{monteCarloPoints}
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\title{Efficient Frontier Plot}
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Plots the efficient frontier of an
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optimized portfolio and allows to add
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points and lines from specif portfolios
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\code{frontierPlot} \tab Plots efficient frontier, \cr
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\code{minvariancePoints} \tab Adds minimum variance point, \cr
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\code{cmlPoints} \tab Adds market portfolio, \cr
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\code{cmlLines} \tab Adds capital market Line, \cr
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\code{tangencyPoints} \tab Adds tangency portfolio point, \cr
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\code{tangencyLines} \tab Adds tangency line, \cr
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\code{equalWeightsPoints} \tab Adds point of equal weights portfolio, \cr
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\code{singleAssetPoints} \tab Adds points of single asset portfolios, \cr
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\code{twoAssetsLines} \tab Adds EF for all combinations of two assets, \cr
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\code{sharpeRatioLines} \tab Adds Sharpe ratio line, \cr
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\code{monteCarloPoints} \tab Adds randomly produced feasible portfolios. }
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frontierPlot(object, frontier = c("both", "lower", "upper"),
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col = c("black", "grey"), add = FALSE, labels = TRUE,
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return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
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auto = TRUE, title = TRUE, \dots)
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minvariancePoints(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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cmlPoints(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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cmlLines(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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tangencyPoints(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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tangencyLines(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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equalWeightsPoints(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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singleAssetPoints(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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twoAssetsLines(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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sharpeRatioLines(object, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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monteCarloPoints(object, mcSteps = 5000, return = c("mean", "mu"),
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risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, \dots)
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an S4 object of class \code{fPORTFOLIO}, containing slots call, data,
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specification, constraints, portfolio, title, description.
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a character string, determining which part of the frontier should be
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extracted. \code{"both"} stands for the full hyperbola, \code{"lower"}
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for all points below the minimum variance return and \code{"upper"}
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for the actual efficient frontier, by default "both".
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a character string vector, setting the color. For \code{frontierPlot}
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it is a two dimensional a vector; first entry is the upper part of the
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frontier,\cr second entry the lower, by default "black" and "grey".\cr
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For the other functions the argument defines the color representation,
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by default sets the default color is the rainbow palette.
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a logical value, determining whether the frontier should be added to
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an existing plot, by default FALSE.
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a character string denoting which type of return should be
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plotted. Allowed values for the
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return are either \code{"mean"}, or \code{"mu"}.
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a character string denoting which type of risk should be
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plotted. Allowed values for the
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risk measure are either \code{"cov"}, \code{"sigma"},
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\code{"VaR"}, or \code{"CVaR"}.
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a logical flag denoting if the type of return and risk to be
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plotted should be selected automatically, by default TRUE.
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a logical flag, should the plot be automatically labeled and
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decorated? By default \code{TRUE}.
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a logical flag, should the plot obtain a default main title and
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x- and y-labels? By default \code{TRUE}.
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an integer value, the number of Monte Carlo steps.
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optional arguments to be passed.
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\bold{Frontier Plot:}\cr
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The \code{frontierPlot} function allows to plot the efficient
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\emph{Selecting the upper and/or lower part of the frontier:}
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One can choose one from three different plot options selectable
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by the argument \code{frontier}.
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The part superior to the minimum variance portfolio is plotted with
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argument \code{frontier="upper"}.
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The part below is plotted with \code{frontier="lower"}.
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Both parts are plotted with \code{frontier="both"}, which is default.
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\emph{Selecting the color of the frontier points:}
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Different colors for the lower and upper part are selected from the
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argument \code{col}, the defaults are grey and black, the first for
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the lower part of the frontier, thye second for the upper part.
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\emph{Plotting the frontiers for several portfolios in one plot:}
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The function comes with an argument \code{add}. If \code{add=FALSE}
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then a new plot is opended displaying the frontier for the selected
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portfolio. On the other hand setting \code{add=TRUE} allows to add
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new efficient frontiers from other portfolios to the same plot.
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\emph{Removing labels from the plot:}
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By default we have \code{labels=TRUE} and thus additional information
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is plotted on the third side of the graph. To discard this information
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one has to set \code{labels = FALSE}.
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\emph{Adding user supplied title and axis-labels:}
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By default we have \code{title=TRUE} and thus a default main title and
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default x- and y-labels are automatically added. To discard this
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kind of decoration set \code{title=FALSE}. Then using the function
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\code{title} allows to add user specified titles and axis-labels.
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\emph{The dot arguments:}
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With the \code{\dots} arguments one can pass additional arguments to
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the internal plot and points functions.
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Data = as.timeSeries(data(smallcap.ts))
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Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
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## portfolioFrontier -
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# Compute Long Only Efficient Frontier
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Frontier = portfolioFrontier(Data)
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# Plot Upper Part of Frontier:
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frontierPlot(Frontier, pch = 19, xlim = c(0, 0.25), ylim = c(0, 0.035))
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abline(h = 0, col = "grey")
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abline(v = 0, col = "grey")
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minvariancePoints(Frontier, pch = 19, col = "red")
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tangencyPoints(Frontier, pch = 19, col = "blue")
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tangencyLines(Frontier, col = "blue")
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equalWeightsPoints(Frontier, pch = 15, col = "grey")
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singleAssetPoints(Frontier, pch = 19, cex = 1.5, col = topo.colors(6))
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twoAssetsLines(Frontier, lty = 3, col = "grey")
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sharpeRatioLines(Frontier, col = "orange", lwd = 2)
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## Feasible Portfolios:
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frontierPlot(Frontier, col = c("orange", "orange"), pch = 19)
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monteCarloPoints(Frontier, mcSteps = 5000, cex = 0.25, pch = 19)
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twoAssetsLines(Frontier, lwd = 2, col = "orange")
added
removed
man/frontierPlot.Rd
