portPossCurve {stockPortfolio}R Documentation

Plot the portfolio possibilities curve

Description

Plot the portfolio possibilities curve or the efficient frontier.

Usage

portPossCurve(model, riskRange = 2, detail = 100, effFrontier = FALSE, add = FALSE, type = "l", xlab = "Risk", ylab = "Expected Return", doNotPlot = FALSE, ...)

Arguments

model An object of class "stockModel".
riskRange A parameter to specify how much of the portfolio possibilities curve to plot. If X is the portfolio with minimum risk without respect to the risk free rate, then the portfolio possibilities curve will be shown up to approximately the risk riskRange*X.
detail The number of points to include on the portfolio possibilities curve. A small number will result a curve that is evidently made up of lines while a large number will provide more detail but takes more memory. The default value is generally adequate.
effFrontier If TRUE, only the efficient frontier is drawn.
add If TRUE, the curve is added to a plot. Otherwise a new plot is created.
type Plotting method. "p" for points, "l" for lines, "b" for both lines and points, and "n" to produce no points or lines.
xlab Label for the x axis. Only applied if add=FALSE.
ylab Label for the y axis. Only applied if add=FALSE.
doNotPlot If FALSE, nothing is plotted. This option may be useful if the points along the curve are of interest and only the values returned by portPossCurve are of interest.
... If add=FALSE, additional arguments for plot.If add=TRUE, additional arguments for points.

Details

If the curve is not smooth, first try decreasing the riskRange. If this is unsuccessful in producing a plot to the detail desired, increase the detail. Generally it is advisable to attempt to adjust the riskRange before adjusting detail.

Value

portPossCurve returns a list of the following items:

R The returns of points along the curve.
risk The risk of points along the curve.
ports The portfolios corresponding to R and risk.

Author(s)

David Diez

See Also

stockModel, portCloud

Examples

data(stock94)
sm <- stockModel(stock94, model='SIM', index=25)
portPossCurve(sm, 2)
portCloud(sm, 2.5)

[Package stockPortfolio version 1.0 Index]