fAssets (version 3002.80)

covEllipsesPlot: Displays a Covariance Ellipses Plot

Description

Displays a covariance ellipses plot.

Usage

covEllipsesPlot(x = list(), ...)

Arguments

x

a list of at least two covariance matrices.

...

optional arguments to be passed.

Details

This plot visualizes the difference between two or more covariance matrices. It is meant to compare different methods of covariance estimation.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

## LPP -
   LPP = as.timeSeries(data(LPP2005REC))[, 1:6]
   head(LPP)
   
## cov - 
   Cov = cov(LPP)
   robustCov = assetsMeanCov(LPP, "MCD")$Sigma
   
## covEllipsesPlot -
   covEllipsesPlot(list(Cov, robustCov))