frontierPoints {fPortfolio} | R Documentation |
Extracts the risk and return coordinates of the efficient frontier.
frontierPoints(object, frontier = c("both", "lower", "upper"), return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE)
object |
an object of class fPORTFOLIO .
|
frontier |
a character string denoting which part of the efficient portfolio should be extractacted. |
return |
character strings denoting which return measure
should be plotted. Allowed values for the
return are either "mean" , or "mu" .
|
risk |
character strings denoting which risk measure
should be plotted. Allowed values for the
risk measure are either "cov" , "sigma" ,
"VaR" , or "CVaR" .
|
auto |
a logical flag. If auto is TRUE , the
default setting, then the risk willbe identified
automatically from the object.
|
The automated risk detection, auto=TRUE
takes the
following decision:
if (auto) { Type = getType(object) Estimator = getEstimator(object) if (Type == "MV") risk = "cov" if (Type == "MV" & Estimator != "covEstimator") risk = "sigma" if (Type == "QLPM") risk = "sigma" if (Type == "CVaR") risk = "CVaR" }
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## data - Data = SMALLCAP.RET Data = Data[, c("BKE", "GG", "GYMB", "KRON")] Data ## portfolioFrontier - Frontier = portfolioFrontier(Data) ## frontierPoints - x = frontierPoints(Frontier, risk = "VaR", auto = FALSE) x = frontierPoints(Frontier, risk = "CVaR", auto = FALSE)