frontier-points: Get Frontier Points

Description

Extracts the risk and return coordinates of the efficient frontier.

Usage

frontierPoints(object, frontier = c("both", "lower", "upper"), 
    return = c("mean", "mu"), risk = c("Cov", "Sigma", "CVaR", "VaR"),
    auto = TRUE)

Arguments

object: an object of class fPORTFOLIO.
frontier: a character string denoting which part of the efficient portfolio should be extractacted.
return: character strings denoting which return measure should be plotted. Allowed values for the return are either "mean", or "mu".
risk: character strings denoting which risk measure should be plotted. Allowed values for the risk measure are either "cov", "sigma", "VaR", or "CVaR".
auto: a logical flag. If auto is TRUE, the default setting, then the risk willbe identified automatically from the object.

Details

The automated risk detection, auto=TRUE takes the following decision:


    if (auto) {
        Type = getType(object)
        Estimator = getEstimator(object)
        if (Type == "MV") risk = "cov"
        if (Type == "MV" & Estimator != "covEstimator") risk = "sigma"
        if (Type == "QLPM") risk = "sigma"
        if (Type == "CVaR") risk = "CVaR" 
    }

References

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