Usage
frontierPlot(object, frontier = c("both", "lower", "upper"),
col = c("black", "grey"), add = FALSE, labels = TRUE,
return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
auto = TRUE, title = TRUE, ...) minvariancePoints(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
cmlPoints(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
cmlLines(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
tangencyPoints(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
tangencyLines(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
equalWeightsPoints(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
singleAssetPoints(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
twoAssetsLines(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
sharpeRatioLines(object, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
monteCarloPoints(object, mcSteps = 5000, return = c("mean", "mu"),
risk = c("Cov", "Sigma", "CVaR", "VaR"), auto = TRUE, ...)
Arguments
object
an S4 object of class fPORTFOLIO, containing slots call, data,
specification, constraints, portfolio, title, description.
frontier
a character string, determining which part of the frontier should be
extracted. "both" stands for the full hyperbola, "lower"
for all points below the minimum variance return and "upper"
for t
col
a character string vector, setting the color. For frontierPlot
it is a two dimensional a vector; first entry is the upper part of the
frontier,
second entry the lower, by default "black" and "grey".
For the other functions th
add
a logical value, determining whether the frontier should be added to
an existing plot, by default FALSE.
return
a character string denoting which type of return should be
plotted. Allowed values for the
return are either "mean", or "mu".
risk
a character string denoting which type of risk should be
plotted. Allowed values for the
risk measure are either "cov", "sigma",
"VaR", or "CVaR".
auto
a logical flag denoting if the type of return and risk to be
plotted should be selected automatically, by default TRUE.
labels
a logical flag, should the plot be automatically labeled and
decorated? By default TRUE.
title
a logical flag, should the plot obtain a default main title and
x- and y-labels? By default TRUE.
mcSteps
an integer value, the number of Monte Carlo steps.
...
optional arguments to be passed.