PortfolioPlots {fPortfolio} | R Documentation |
A collection and description of plot functions.
Included are weights, frontier, and related plots,
as well as covariance ellipses plots.
The functions are:
frontierPlot | Plots efficient frontier, |
weightsPlot | Plots staggered weights, |
attributesPlot | Plots weighted means, |
covRiskBudgetsPlot | Plots covariance risk budgets, |
tailRiskBudgetsPlot | Plots tail risk budgets, |
weightsPie | Plots staggered weights, |
attributesPie | Plots weighted means, |
covRiskBudgetPie | Plots weighted risks, |
tailRiskBudgetPie | Plots weighted risks, |
covEllipsesPlot | Plots covariance ellipses. |
frontierPlot(object, frontier = c("both", "lower", "upper"), col = c("black", "grey"), add = FALSE, ...) weightsPlot(object, col = NULL, legend = TRUE) attributesPlot(object, col = NULL, legend = TRUE) covRiskBudgetsPlot(object, col = NULL, legend = TRUE) tailRiskBudgetsPlot(object, col = NULL, legend = TRUE) weightsPie(object, pos = NULL, col = NULL, box = TRUE, legend = TRUE) attributesPie(object, pos = NULL, col = NULL, box = TRUE, legend = TRUE) covRiskBudgetsPie(object, pos = NULL, col = NULL, box = TRUE, legend = TRUE) tailRiskBudgetsPie(object, pos = NULL, col = NULL, box = TRUE, legend = TRUE) covEllipsesPlot(x = list(), ...)
add |
[frontierPlot] - a logical value, determining whether the frontier should be added to an existing plot, by default FALSE. |
box |
[weightsPie] - a logical value, determining whether a frame (box) should be plotted around the pie, by default TRUE. |
col |
a character string vector, setting the color. For frontierPlot
it is a two dimensional a vector; first entry is the upper part of the
frontier,second entry the lower, by default "black" and "grey". For the other functions the argument defines the color representation, by default sets the default color is the rainbow palette. |
frontier |
[frontierPlot] - a character string, determining which part of the frontier should be extracted. "both" stands for the full hyperbola, "lower"
for all points below the minimum variance return and "upper"
for the actual efficient frontier, by default "both".
|
legend |
[*Pie][*Plot] - a numeric value, determining the position on the efficient frontier plotting the pie, by default NULL, i.e. expecting a object having only one set of weights like the tangency portfolio. |
pos |
[*Pie] - a logical value, determining whether a legend with the names of the assets should be plotted, by default TRUE. |
object |
an S4 object of class fPORTFOLIO , containing slots call, data,
specification, constraints, portfolio, title, description.
|
x |
[covEllipsesPlot] - a list of at least two covariance matrices. |
... |
[covEllipsesPlot] - optional arguments to be passed. |
Frontier Plot:
The frontier plot provides plotting three parts of the efficient frontier.
The part superior to the minimum variance portfolio is plotted with argument
frontier = "upper". The part below is plotted with "lower". Both parts are
plotted with "both", which is default. The ranges of plots are determined
by maximum of the ranges of the assets or the minimum and maximum of the
efficient frontier. Adding an efficient frontier to an existing plot is
possible with the argument add. The argument col determines the color of
the upper and lower part of the efficient frontier.
Weights, Attributes, and Risk Budgets Plots:
These plotds give a view on three different views related to the weights
of the frontier. This concern the constitution of the weights, the
weights attributes and of the risk budgets. A vertical line indicates
the minimum variance portfolio. The weights plot displays staggered
weights, while the attributes plot shows the mean return weighted weights
of the portfolio, i.e. the real return. The risk budget plot shows the
risk weighted weights.
Covariance Ellipses Plot:
This plot visualizes the difference between two or more covariance matrices.
It is meant to compare different methods of covariance estimation.
Diethelm Wuertz and Oliver Greshake for the Rmetrics port.
PortfolioData
,
PortfolioSpec
,
PortfolioConstraints
,
fPORTFOLIO
.
## portfolioFrontier - # Load Data: Data = as.timeSeries(data(smallcap.ts)) Data = Data[, c("BKE", "GG", "GYMB", "KRON")] Data # Compute Long Only Efficient Frontier frontier = portfolioFrontier(Data) frontier ## frontierPlot - # Plot Upper Part of Frontier: # frontierPlot(frontier, frontier = "upper") # Adding Lower Part to Plot # frontierPlot(frontier, frontier = "lower", add = TRUE) ## weightsPlot - # View Weights Plot: # weightsPlot(frontier) ## attributesPlot - # View Attributes Plot: # attributesPlot(frontier, legend = TRUE)