chart.EfficientFrontierCompare {PortfolioAnalytics}

Overlay the efficient frontiers of different minRisk portfolio objects on a single plot.

Description

Overlay the efficient frontiers of different minRisk portfolio objects on a single plot.

Usage

chart.EfficientFrontierCompare(
  R,
  portfolio,
  risk_type,
  n.portfolios = 25,
  match.col = c("StdDev", "ES"),
  guideline = NULL,
  main = "Efficient Frontiers",
  plot_type = "l",
  cex.axis = 0.5,
  element.color = "darkgray",
  legend.loc = NULL,
  legend.labels = NULL,
  cex.legend = 0.8,
  xlim = NULL,
  ylim = NULL,
  ...,
  chart.assets = TRUE,
  labels.assets = TRUE,
  pch.assets = 21,
  cex.assets = 0.8,
  col = NULL,
  lty = NULL,
  lwd = NULL
)

Arguments

R

an xts object of asset returns

portfolio

same constrained portfolio created by portfolio.spec

risk_type

type of risk that you want to compare

n.portfolios

number of portfolios to extract along the efficient frontier. This is only used for objects of class optimize.portfolio

match.col

string name of column to use for portfolio object. Must match the name of an objective.

guideline

show the risk difference and mean difference between efficient frontiers

main

title used in the plot.

plot_type

define the plot_type, default is "l"

cex.axis

the magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to plot.

element.color

provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.

legend.loc

location of the legend; NULL, "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center".

legend.labels

character vector to use for the legend labels.

cex.legend

The magnification to be used for sizing the legend relative to the current setting of 'cex', similar to plot.

xlim

set the x-axis limit, same as in plot.

ylim

set the y-axis limit, same as in plot.

...

passthrough parameters to plot.

chart.assets

TRUE/FALSE to include the assets.

labels.assets

TRUE/FALSE to include the asset names in the plot.

pch.assets

plotting character of the assets, same as in plot.

cex.assets

A numerical value giving the amount by which the asset points and labels should be magnified relative to the default.

col

vector of colors with length equal to the number of portfolios in portfolio_list. Add two more to customize guideline color.

lty

vector of line types with length equal to the number of portfolios in portfolio_list. Add two more to customize guideline type.

lwd

vector of line widths with length equal to the number of portfolios in portfolio_list. Add two more to customize guideline width.

Author(s)

Xinran Zhao