plotFrontiers {PortfolioAnalytics}

Generate efficient frontiers plot by providing frontiers.

Description

Generate efficient frontiers plot by providing frontiers.

Usage

plotFrontiers(
  R,
  frontiers,
  risk,
  ES_alpha = 0.05,
  EQS_alpha = 0.05,
  moment_setting = 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,
  ...,
  labels.assets = TRUE,
  pch.assets = 21,
  cex.assets = 0.8,
  col = NULL,
  lty = NULL,
  lwd = NULL
)

Arguments

R

an xts object of asset returns

frontiers

a list of frontiers, for example, list(ef1=meanvar.efficient.frontier(), ef2=meanvar.efficient.frontier())

risk

type of risk that you want to compare, could be 'StdDev', 'ES', 'EQS'

ES_alpha

the default value is 0.05, but could be specified as any value between 0 and 1

EQS_alpha

the default value is 0.05, but could be specified as any value between 0 and 1

moment_setting

the default is NULL, if customize momentFUN please provide moment_setting=list(mu=, sigma=)

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.

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 frontiers.

lty

vector of line types with length equal to the number of portfolios in frontiers.

lwd

vector of line widths with length equal to the number of portfolios in frontiers.

Details

This function provides the ability to plot frontiers based on the result of 'meanvar.efficient.frontier', 'meanetl.efficient.frontier' or 'meaneqs.efficient.frontier'.

When using meanvar.efficient.frontier, meanetl.efficient.frontier and meaneqs.efficient.frontier, the result will be frontiers data, including the weights for each point on the mean-risk efficient frontiers. Before using this function, user should declare which risk that they want to compare, and what parameters that they want to use to calculate the risk, e.g. ES_alpha for ES, moment_setting for var. Then this function will calculate back mean and risk based on the weight, and draw a plot.

Default settings use colors and line types to differentiate portfolios, and set the portfolio name as 'Portfolio 1' and so on. Users could customize col, lty, lwd and legend.labels to better the plot.

Author(s)

Xinran Zhao