fPORTFOLIO {fPortfolio}

Portfolio Class

Description

A collection and description of functions allowing to gain information about optimal portfolios. Generally, optimization is done via three arguments, data, specification of the portfolio, and constraints, while function portfolioFrontier has two additional arguments for title and description.

Usage

## S3 method for class 'fPORTFOLIO'
plot(x, which = "ask", control = list(), ...)

## S3 method for class 'fPORTFOLIO'
summary(object, ...)

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.

which

which of the plots should be displayed? which can be either a character string, "all" (displays all plots) or "ask" (interactively asks which one to display), or a vector of integer values displaying the corresponding plot. Default value is "ask".

object, x

an S4 object of class fPORTFOLIO.

...

optional arguments to be passed.

Details

Portfolio Class:

This S4 class contains all information about the portfolio. Basically these are risk measure, mean and covariance estimation, target return, risk free rate, number of frontier points, ranges for calculation, see the "Value" section for a detailed description of the slots.

Value

portfolioFrontier()
returns an S4 object of class "fPORTFOLIO", with the following slots:

@call

a call, returning the matched function call.

@data

a list with two named elements, series holding the time series data if available, otherwise NA, and statistics, itself a named list with two named elements mu and Sigma holding the vector of means and the matrix of covariances.

@description

a character string, allowing for a brief project description.

@portfolio

a list, containing parameter specifications for the portfolio:
weights a numeric vector specifying the portfolio weights,
targetReturn a numeric value specifying the target return,
targetRisk a numeric value specifying the target risk,
targetMean a numeric value specifying the target return determinated with function mean(),
targetStdev a numeric value specifying the target risk in standart deviation as risk measure.

@specification

a list with one named element spec which represents an object of class fPFOLIOSPEC, including all information about the portfolio specifications, see PortfolioSpec for further details.

@title

a title string.

feasiblePortfolio
cmlPortfolio
tangencyPortfolio
minvariancePortfolio
efficientPortfolio
return an S4 object of class fPORTFOLIO having information only about one portfolio.

Control Parameters

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

sliderResolution

[weightsSlider, frontierSlider] - a numeric, determining the numbers of slider points, by default nFrontierPoints/10.

sliderFlag

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

sharpeRatio.col

[plot, frontierSlider] - 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

[plot, frontierSlider] - a character string, defining color of the market portfolio and the capital market line, by default "green".

equalWeights.col

[plot, frontierSlider] - a character string, defining the color of the equal weights portfolio, by default "blue".

runningPoint.col

[weightsSlider] - 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

[plot, frontierSlider] - a character string, defining color of the two assets efficient frontier, by default "grey".

monteCarlo.col

[plot, frontierSlider] - 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

[plot, frontierSlider] - a number, defining symbol used for the market portfolio. See points for description. Default symbol is 17.

equalWeights.pch

[plot, frontierSlider] - 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

[plot, frontierSlider] - 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

[plot, frontierSlider] - a number, determining size (percentage) of the market portfolio symbol, by default 1.25.

equalWeights.cex

[plot, frontierSlider] - a number, determining size (percentage) of the equal weights portfolio symbol, by default 0.8.

runningPoint.cex

[weightsSlider] - 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

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

monteCarlo.cex

[plot, frontierSlider] - a number, determining size (percentage) of the Monte Carol portfolio symbols, by default 0.01.

monteCarlo.cex

[plot, frontierSlider] - a number, determining size (percentage) of the Monte Carol portfolio symbols, by default 0.01.

mcSteps

[plot] - a number, determining number of Monte Carol portfolio, by default 5000.

pieR

[plot, frontierSlider] - 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

[plot, frontierSlider] - a number, determining the weight on the efficient frontier, which is illustrated by the pie. Default is tangency portfolio

pieOffset

[plot, frontierSlider] - 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

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

ylim

[weightsSlider, frontierSlider] - 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.