portPossCurve {stockPortfolio} | R Documentation |
Plot the portfolio possibilities curve or the efficient frontier.
portPossCurve(model, riskRange = 2, detail = 100, effFrontier = FALSE, add = FALSE, type = "l", xlab = "Risk", ylab = "Expected Return", doNotPlot = FALSE, ...)
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 . |
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
.
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 . |
David Diez
data(stock94) sm <- stockModel(stock94, model='SIM', index=25) portPossCurve(sm, 2) portCloud(sm, 2.5)