fPortfolio (version 2100.76)

weightsPlot: Portfolio Weights Pie Plots

Description

Displays plots of weights, investments, covariance and tail risk budgets.

Usage

weightsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)
    
weightedReturnsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)
    
covRiskBudgetsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)
    
tailRiskBudgetsPlot(object, labels = TRUE, col = NULL, title = TRUE, 
    mtext = TRUE, box = TRUE, legend = TRUE, ...)

Arguments

object

an S4 object of class fPORTFOLIO, as returned by one of the portfolio functions, e.g. efficientPortfolio or portfolioFrontier.

labels

a logical flag, determining if the the graph should be labeled automatically, which is the default case labels=TRUE. If set to FALSE then the graph will be displayed undecorated and the user can it decora

col

a character string vector, defined from a color palette. The default setting uses the "Blues" seqPalette palette.

title

a logical flag. Should automatically a title and axis labels be added to the plot.

mtext

a logical flag. Should automatically a margin text added to the right hand side plot?

box

a logical flag, determining whether a boxed frame should be plotted around the pie, by default the value is set to TRUE.

legend

a logical value, determining if the the graph should be labeled automatically, shich is the default case labels=TRUE. If set to FALSE then the graph will be displayed undecorated and the user can it decor

...

additional arguments passed to the function barplot. Only active if labels=FALSE.

Details

These barplots plots allow for different views on the results obtained from a feasible or an optimized portfolio. The function weightsPlot displays the weights composition along the frontier of a portfolio. The function weightedReturnsPlot displays the investment composition, i.e. the weighted returns along the frontier of a portfolio. The function covRiskBudgetsPlot displays the covariance risk budgets composition along the frontier of a portfolio.

The function tailRiskBudgetsPlot displays the copulae tail risk budgets composition along the frontier of a portfolio. Note, this is only possible if in the portfolio specificsation a copulae tail risk is defined.

References

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

Examples

## data -
   Data = SMALLCAP.RET
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]

## portfolioFrontier -
   Frontier = portfolioFrontier(Data)
   
## weightsPlot -
   weightsPlot(Frontier)