weightsSlider {fPortfolio} | R Documentation |
Portfolio Weights Slider
Description
Interactive portfolio weights plot.
Usage
weightsSlider(object, control = list(), ...)
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.
|
object |
an S4 object of class fPORTFOLIO .
|
... |
optional arguments to be passed.
|
Details
The slider has illustrative objectives. The function expects an S4
object of class fPORTFOLIO
.
The weights slider gives an overview of the weights
on the efficient frontier. Three weight plots weightsPlot
,
piePlot
and the not stacked weights and a frontier plot with the
single assets, the tangency portfolio and a legend are provided. In the
two weights plots the vertical line indicates the current portfolio and a
dotted one indicates the minimum variance portfolio. The number in the
pie plot stands for the asset and the sign shows whether this asset is
short or long. In all plots colors represent the same asset.
Value
Creates interactive plots.
Control Parameters
In the following all elements of argument control from functions
plot
, weightsSlider
, frontierSlider
are listed.
- sliderResolution
- a numeric, determining the numbers of slider points, by default
nFrontierPoints/10.
- sliderFlag
- a character string, denoting the slidertype, by default "frontier"
for
frontierSlider
and "weights" for weightsSlider
.
- sharpeRatio.col
- 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
- a character string, defining color of the market
portfolio and the capital market line, by default "green".
- equalWeights.col
- a character string, defining the color of the
equal weights portfolio, by default "blue".
- runningPoint.col
- 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
- a character string, defining color of the
two assets efficient frontier, by default "grey".
- monteCarlo.col
- 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
- a number, defining symbol used for the market portfolio.
See
points
for description.
Default symbol is 17.
- equalWeights.pch
- 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
- 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
- a number, determining size (percentage) of the
market portfolio symbol, by default 1.25.
- equalWeights.cex
- a number, determining size (percentage) of the
equal weights portfolio symbol, by default 0.8.
- runningPoint.cex
- 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
- a number, determining size (percentage) of the
two assets efficient frontier plot, by default 0.01.
- monteCarlo.cex
- a number, determining size (percentage) of the
Monte Carol portfolio symbols, by default 0.01.
- monteCarlo.cex
- a number, determining size (percentage) of the
Monte Carol portfolio symbols, by default 0.01.
- mcSteps
- a number, determining number of Monte Carol portfolio,
by default 5000.
- pieR
- 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
- a number, determining the weight on the efficient frontier,
which is illustrated by the pie. Default is tangency portfolio
- pieOffset
- 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
- a vector, containing x-axis plot limits of the efficient frontier.
Default setting is maximum of frontier range or single assets
portfolios.
- ylim
- 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.
Examples
## Load Data and Convert to timeSeries Object:
Data = SMALLCAP.RET
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
## portfolioFrontier -
frontier = portfolioFrontier(Data)
frontier
## weightsSlider -
# Try Frontier Slider:
# weightsSlider(frontier)
[Package
fPortfolio version 2100.77
Index]