| frontierPoints {fPortfolio} | R Documentation |
Extracts the risk and return coordinates of the efficient frontier.
frontierPoints(object, frontier = c("both", "lower", "upper"),
return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
auto = TRUE)
object |
an object of class fPORTFOLIO.
|
frontier |
a character string denoting which part of the efficient portfolio should be extractacted. |
return |
character strings denoting which return measure
should be plotted. Allowed values for the
return are either "mean", or "mu".
|
risk |
character strings denoting which risk measure
should be plotted. Allowed values for the
risk measure are either "cov", "sigma",
"VaR", or "CVaR".
|
auto |
a logical flag. If auto is TRUE, the
default setting, then the risk willbe identified
automatically from the object.
|
The automated risk detection, auto=TRUE takes the
following decision:
if (auto) {
Type = getType(object)
Estimator = getEstimator(object)
if (Type == "MV") risk = "cov"
if (Type == "MV" & Estimator != "covEstimator") risk = "sigma"
if (Type == "QLPM") risk = "sigma"
if (Type == "CVaR") risk = "CVaR"
}
## data -
# Load Data and Convert to timeSeries Object:
Data = as.timeSeries(data(smallcap.ts))
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
## portfolioFrontier -
# Compute Efficient Frontier:
Frontier = portfolioFrontier(Data)
## frontierPoints:
# Extract Points and Plot:
x = frontierPoints(Frontier, risk = "VaR", auto = FALSE)
x = frontierPoints(Frontier, risk = "CVaR", auto = FALSE)