PortfolioAnalytics (version 2.1.0)

chart.Concentration: Classic risk reward scatter and concentration

Description

This function charts the optimize.portfolio object in risk-return space and the degree of concentration based on the weights or percentage component contribution to risk.

Usage

chart.Concentration(
  object,
  ...,
  return.col = "mean",
  risk.col = "ES",
  chart.assets = FALSE,
  conc.type = c("weights", "pct_contrib"),
  col = heat.colors(20),
  element.color = "darkgray",
  cex.axis = 0.8,
  xlim = NULL,
  ylim = NULL
)

Arguments

object

optimal portfolio created by optimize.portfolio.

...

any other passthru parameters.

return.col

string matching the objective of a 'return' objective, on vertical axis.

risk.col

string matching the objective of a 'risk' objective, on horizontal axis.

chart.assets

TRUE/FALSE. Includes a risk reward scatter of the assets in the chart.

conc.type

concentration type can be based on the concentration of weights or concentration of percentage component contribution to risk (only works with risk budget objective for the optimization).

col

color palette or vector of colors to use.

element.color

color for the border and axes.

cex.axis

The magnification to be used for axis annotation relative to the current setting of cex.

xlim

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

ylim

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

Author

Peter Carl and Ross Bennett

See Also

optimize.portfolio