portCloud: Plot a portfolio cloud

Description

Given a model with short-selling permitted, portCloud plots a cloud of possible portfolios.

Usage

portCloud(model, riskRange = 2, detail = 25, N = 3000, add = TRUE, col = c("#55550044"), pch = 20, subSamp = 1000, xlim = "default", ylim = "default", xlab = "Risk", ylab = "Return", ...)

Arguments

model

An object of class "stockModel".

riskRange

A factor to specify how large you would like the portfolio cloud to be. If X is the portfolio with minimum risk, then the portfolio cloud will look aesthetically best to approximately risk of riskRange*X.

detail

A parameter that adjusts the appearance of the portfolio cloud. The default value is often adequate.

A parameter for the number of portfolios to consider.

add

If TRUE, then the points are added to the plot. If FALSE, a new plot is created.

col

Color of the portfolios in the plot.

pch

Plotting character of the portfolios.

subSamp

The maximum number of portfolios to plot.

xlim

Limits for the x axis. Only applied if add=FALSE.

ylim

Limits for the y axis. Only applied if add=FALSE.

xlab

Label for the x axis. Only applied if add=FALSE.

ylab

Label for the y axis. Only applied if add=FALSE.

...

If add=FALSE, additional arguments for plot. If add=TRUE, additional arguments for points.

Value

ports: The portfolios plotted.
R: The estimated return associated with each row of ports.
risk: The estimated risk associated with each row of ports.

Details

Which portfolios are actually plotted is dependent on the portfolio possibilities curve. A number of points along the curve, specified by detail and the stocks themselves are used to produce a relatively uniform looking portfolio cloud.

Examples

Run this code

data(stock94)
sm <- stockModel(stock94, model='SIM', index=25)
portCloud(sm, add=FALSE)
portPossCurve(sm, 2.5, add=TRUE)