PortfolioSlider          package:fPortfolio          R Documentation

_P_o_r_t_f_o_l_i_o _S_l_i_d_e_r

_D_e_s_c_r_i_p_t_i_o_n:

     Pop ups interactive plots onportfolio weights and the portfolio
     frontier. 

     The functions are:

       'frontierSlider'  starts the efficient frontier Slider,
       'weightsSlider'   starts the weights slider.

_U_s_a_g_e:

          
     frontierSlider(object, control = list(), ...)
     weightsSlider(object, control = list(), ...)

_A_r_g_u_m_e_n_t_s:

 control: a list, defining the plotting parameters. The list modifies
          amongst others the color, e.g. 'minvariance.col', type of
          point, e.g. 'tangency.pch', or the dimension of the point,
          e.g. 'cml.cex', see Notes for a complete list of control
          parameters. 

  object: an S4 object of class 'fPORTFOLIO'. 

     ...: optional arguments to be passed.


_D_e_t_a_i_l_s:

     The sliders have illustrative objectives. The functions expect an
     S4 object of class fPortfolio.

     'frontierSlider': With the frontier slider it is possible to slide
      over the efficient frontier. Risk and return of the current
     portfolio is  plotted in the title. The frontier slider has
     several addable plot features  listed in the following. Little
     pies at the current portfolio showing the  weights (left pie)
     and/or the attributed weights (right pie), legend,  minimum
     variance portfolio, tangency portfolio, market portfolio with 
     capital market line (risk free rate is slidable), Sharpe ratio
     plot, equal  weights portfolio, single asset portfolios, two
     assets short selling  efficient frontier, Monte Carlo portfolios
     (number is sliderable in a  range from 0  to 25000). 


     'weightsSlider': The weights slider gives an overview of the
     weights  on the efficient frontier. Three weight plots
     'weightsPlot',  'piePlot' and the not stacked weights and a
     frontier plot with the single assets, the tangency portfolio and a
     legend are provided. In the  two weights plots the vertical line
     indicates the current portfolio and a  dotted one indicates the
     minimum variance portfolio. The number in the  pie plot stands for
     the asset and the sign shows whether this asset is  short or long.
     In all plots colors represent the same asset.

_V_a_l_u_e:

     Creates interactive plots.

_C_o_n_t_r_o_l _P_a_r_a_m_e_t_e_r_s:

     In the following all elements of argument control from functions
     'plot', 'weightsSlider', 'frontierSlider' are listed. 

     _s_l_i_d_e_r_R_e_s_o_l_u_t_i_o_n [weightsSlider, frontierSlider] -  a numeric,
          determining the numbers of slider points, by default 
          nFrontierPoints/10. 

     _s_l_i_d_e_r_F_l_a_g [weightsSlider, frontierSlider] -  a character string,
          denoting the slidertype, by default "frontier" for
          'frontierSlider' and "weights" for 'weightsSlider'. 

     _s_h_a_r_p_e_R_a_t_i_o._c_o_l [plot, frontierSlider] -  a character string,
          defining color of the Sharpe ratio plot, by default "black".

     _m_i_n_v_a_r_i_a_n_c_e._c_o_l a character string, defining color of the minimum
          variance portfolio, by default "red".

     _t_a_n_g_e_n_c_y._c_o_l a character string, defining color of the tangency
          portfolio, by default "steelblue".

     _c_m_l._c_o_l [plot, frontierSlider] -  a character string, defining 
          color of the market portfolio and the capital market line, by
          default "green".

     _e_q_u_a_l_W_e_i_g_h_t_s._c_o_l [plot, frontierSlider] -  a character string,
          defining the color of the equal weights portfolio, by default
          "blue".

     _r_u_n_n_i_n_g_P_o_i_n_t._c_o_l [weightsSlider] -  a character string, defining
          color of the point indicating the current portfolio, by
          default "red".

     _s_i_n_g_l_e_A_s_s_e_t._c_o_l a character string vector, defining color of the
          single asset portfolios. The vector must have length the
          number  of assets, by default 'rainbow'.

     _t_w_o_A_s_s_e_t_s._c_o_l [plot, frontierSlider] -  a character string,
          defining color of the two assets efficient frontier, by
          default "grey".

     _m_o_n_t_e_C_a_r_l_o._c_o_l [plot, frontierSlider] -  a character string,
          defining color of the Monte Carlo portfolios, by default
          "black". 

     _m_i_n_v_a_r_i_a_n_c_e._p_c_h a number, defining symbol used for the minimum
          variance portfolio. See 'points' for description. Default
          symbol is 17.

     _t_a_n_g_e_n_c_y._p_c_h a number, defining symbol used for the tangency
          portfolio. See 'points' for description. Default symbol is
          17.

     _c_m_l._p_c_h [plot, frontierSlider] -  a number, defining symbol used
          for the market portfolio. See 'points' for description.
          Default symbol is 17.

     _e_q_u_a_l_W_e_i_g_h_t_s._p_c_h [plot, frontierSlider] -  a number, defining
          symbol used for the equal weights portfolio. See 'points' for
          description. Default symbol is 15. 

     _s_i_n_g_l_e_A_s_s_e_t._p_c_h a number, defining symbol used for the single
          asset portfolios. See 'points' for description. Default
          symbol is 18. 

     _s_h_a_r_p_e_R_a_t_i_o._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the Sharpe ratio plot, by default 0.1.

     _m_i_n_v_a_r_i_a_n_c_e._c_e_x a number, determining size (percentage) of the
          minimum variance portfolio symbol, by default 1.

     _t_a_n_g_e_n_c_y._c_e_x a number, determining size (percentage) of the
          tangency portfolio symbol, by default 1.25.

     _c_m_l._c_e_x [plot, frontierSlider] -  a number, determining size
          (percentage) of the market portfolio symbol, by default 1.25.

     _e_q_u_a_l_W_e_i_g_h_t_s._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the equal weights portfolio symbol, by
          default 0.8.

     _r_u_n_n_i_n_g_P_o_i_n_t._c_e_x [weightsSlider] -  a number, determining size
          (percentage) of the point indicating the current portfolio
          equal weights portfolio symbol, by default 0.8.

     _s_i_n_g_l_e_A_s_s_e_t._c_e_x a number, determining size (percentage) of the
          singel asset portfolio symbols, by default 0.8.

     _t_w_o_A_s_s_e_t_s._c_e_x [plot, frontierSlider] -  a number, determining size
          (percentage) of the two assets efficient frontier plot, by
          default 0.01.

     _m_o_n_t_e_C_a_r_l_o._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the Monte Carol portfolio symbols, by
          default 0.01. 

     _m_o_n_t_e_C_a_r_l_o._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the Monte Carol portfolio symbols, by
          default 0.01.

     _m_c_S_t_e_p_s [plot] -  a number, determining number of Monte Carol
          portfolio, by default 5000.

     _p_i_e_R [plot, frontierSlider] -  a vector, containing factors for
          shrinking and stretching the x- and y-axis, by default NULL,
          i.e. c(1, 1) is used. Default pie size is  1/15 of the plot
          range.

     _p_i_e_P_o_s [plot, frontierSlider] -  a number, determining the weight
          on the efficient frontier, which is illustrated by the pie.
          Default is tangency portfolio

     _p_i_e_O_f_f_s_e_t [plot, frontierSlider] -  a vector, containing the pie's
          x- and y-axis offset from the efficient frontier. Default is
          NULL, i.e. the pie is set one default radius left of the
          efficient frontier.

     _x_l_i_m [weightsSlider, frontierSlider] -  a vector, containing
          x-axis plot limits of the efficient frontier. Default setting
          is maximum of frontier range or single assets  portfolios.

     _y_l_i_m [weightsSlider, frontierSlider] -  a vector, containing
          y-axis plot limits of the efficient frontier. Default setting
          is maximum of frontier range or single assets  portfolios.  

_A_u_t_h_o_r(_s):

     Diethelm Wuertz and Oliver Greshake for the Rmetrics port.

_S_e_e _A_l_s_o:

     'PortfolioClass', 'PortfolioData', 'PortfolioSpec',
     'PortfolioConstraints', 'PortfolioPlots'.

_E_x_a_m_p_l_e_s:

     ## minvariancePortfolio -
        # Load Data and Convert to timeSeries Object:
        Data = as.timeSeries(data(smallcap.ts))
        Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
        Data
        # Set Default Specifications:
        Spec = portfolioSpec()
        Spec
        # Allow for unlimited Short Selling:
        Constraints = "Short"
        # Compute Short Selling Minimum Variance Portfolio
        minvariancePortfolio(Data, Spec, Constraints)
         
     ## portfolioFrontier -
        # Modify Constraints - Now Long Only Constraints:
        Constraint = c("minW[1:nAssets]=0")
        # Calculation of the Efficient Frontier
        frontier = portfolioFrontier(Data, Spec, Constraint)
        print(frontier)
         
     ## frontierSlider -
        # Try Frontier Slider:
        # frontierSlider(frontier)

     ## weightsSlider -
        # Try Weights Slider:
        # weightsSlider(frontier)

