risk-surfaceRisk: Surface Risk Analytics

Description

Functions for surface risk analytics.

Usage

markowitzHull(data, nFrontierPoints=50)
feasibleGrid(hull, trace=FALSE)
bestDiversification(grid, FUN="var", trace=FALSE)
riskSurface(diversification, FUN=NULL, …)
surfacePlot(surface, type=c("image", "filled.contour"), nlevels=11, 
    palette=topo.colors, addContour=TRUE, addGrid=TRUE, addHull=TRUE, 
    addAssets=TRUE, …)

Arguments

data

hull

surface

diversification

FUN

grid

nFrontierPoints

trace

type

nlevels

palette

addContour

addGrid

addHull

addAssets

…

optional arguments

References

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