1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
|
\name{weightsLinePlot}
\alias{weightsLinePlot}
\alias{weightedReturnsLinePlot}
\alias{covRiskBudgetsLinePlot}
%\alias{tailRiskBudgetsLinePlot}
\title{Portfolio Weights Line Plots}
\description{
Displays line plots of weights, weighted returns, covariance
and tail risk budgets.
}
\usage{
weightsLinePlot(object, labels = TRUE, col = NULL, title = TRUE,
box = TRUE, legend = TRUE, ...)
weightedReturnsLinePlot(object, labels = TRUE, col = NULL, title = TRUE,
box = TRUE, legend = TRUE, ...)
covRiskBudgetsLinePlot(object, labels = TRUE, col = NULL, title = TRUE,
box = TRUE, legend = TRUE, ...)
% NYI
%tailRiskBudgetsLinePlot(object, labels = TRUE, col = NULL, title = TRUE,
% box = TRUE, legend = TRUE, ...)
}
\arguments{
\item{object}{
an S4 object of class \code{fPORTFOLIO}, as returned by one of
the portfolio functions, e.g. \code{efficientPortfolio} or
\code{portfolioFrontier}.
}
\item{labels}{
a logical flag, determining if the the graph should be labeled
automatically, which is the default case \code{labels=TRUE}. If
set to \code{FALSE} then the graph will be displayed
undecorated and the user can it decorate by himself.
}
\item{col}{
a character string vector, defined from a color palette. The
default setting uses the "Blues" \code{seqPalette} palette.
}
\item{title}{
a logical flag. Should automatically a title and axis labels be
added to the plot.
}
\item{box}{
a logical flag, determining whether a boxed frame should be plotted
around the pie, by default the value is set to \code{TRUE}.
}
\item{legend}{
a logical value, determining if the the graph should be labeled
automatically, shich is the default case \code{labels=TRUE}. If
set to \code{FALSE} then the graph will be displayed
undecorated and the user can it decorate by himself.
Evenmore, if \code{labels} takes the value of a string vector,
then the names of the assets from the porftolio \code{object}
will be ignored, and the labels will be taken from the specified
string vector.
}
\item{\dots}{
additional arguments passed to the function \code{barplot}. Only
active if \code{labels=FALSE}.
}
}
\details{
These line plots allow for different views on the results obtained
from a feasible or an optimized portfolio.
The function \code{weightsPlot} displays the weights composition
along the frontier of a portfolio.
The function \code{weightedReturnsPlot} displays the investment
composition, i.e. the weighted returns along the frontier of a portfolio.
The function \code{covRiskBudgetsPlot} displays the covariance risk
budgets composition along the frontier of a portfolio.
% NYI
%The function \code{tailRiskBudgetsPlot} displays the copulae tail
%risk budgets composition along the frontier of a portfolio. Note,
%this is only possible if in the portfolio specification a copulae
%tail risk is defined.
}
\references{
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
\emph{Portfolio Optimization with R/Rmetrics},
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
}
\examples{
## data -
Data = SMALLCAP.RET
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
Data
## portfolioFrontier -
Frontier = portfolioFrontier(Data)
## weightsLinePlot -
# weightsLinePlot(frontier)
}
\keyword{models}
|
