chart.EfficientFrontier.Rd

\name{chart.EfficientFrontier}
\alias{chart.EfficientFrontier}
\alias{chart.EfficientFrontier.efficient.frontier}
\alias{chart.EfficientFrontier.optimize.portfolio}
\alias{chart.EfficientFrontier.optimize.portfolio.ROI}
\title{Chart the efficient frontier and risk-return scatter}
\usage{
  chart.EfficientFrontier(object, ...)

  \method{chart.EfficientFrontier}{optimize.portfolio.ROI} (object, ..., match.col = "ES", n.portfolios = 25,
    xlim = NULL, ylim = NULL, cex.axis = 0.8,
    element.color = "darkgray",
    main = "Efficient Frontier", RAR.text = "SR", rf = 0,
    tangent.line = TRUE, cex.legend = 0.8,
    chart.assets = TRUE, labels.assets = TRUE,
    pch.assets = 21, cex.assets = 0.8)

  \method{chart.EfficientFrontier}{optimize.portfolio} (object, ..., match.col = "ES", n.portfolios = 25,
    xlim = NULL, ylim = NULL, cex.axis = 0.8,
    element.color = "darkgray",
    main = "Efficient Frontier", RAR.text = "SR", rf = 0,
    tangent.line = TRUE, cex.legend = 0.8,
    chart.assets = TRUE, labels.assets = TRUE,
    pch.assets = 21, cex.assets = 0.8)

  \method{chart.EfficientFrontier}{efficient.frontier} (object, ..., match.col = "ES", n.portfolios = NULL,
    xlim = NULL, ylim = NULL, cex.axis = 0.8,
    element.color = "darkgray",
    main = "Efficient Frontier", RAR.text = "SR", rf = 0,
    tangent.line = TRUE, cex.legend = 0.8,
    chart.assets = TRUE, labels.assets = TRUE,
    pch.assets = 21, cex.assets = 0.8)
}
\arguments{
  \item{object}{object to chart.}

  \item{\dots}{passthru parameters to \code{\link{plot}}}

  \item{match.col}{string name of column to use for risk
  (horizontal axis). \code{match.col} must match the name
  of an objective measure in the \code{objective_measures}
  or \code{opt_values} slot in the object created by
  \code{\link{optimize.portfolio}}.}

  \item{n.portfolios}{number of portfolios to use to plot
  the efficient frontier.}

  \item{xlim}{set the x-axis limit, same as in
  \code{\link{plot}}.}

  \item{ylim}{set the y-axis limit, same as in
  \code{\link{plot}}.}

  \item{cex.axis}{numerical value giving the amount by
  which the axis should be magnified relative to the
  default.}

  \item{element.color}{provides the color for drawing
  less-important chart elements, such as the box lines,
  axis lines, etc.}

  \item{main}{a main title for the plot.}

  \item{RAR.text}{string name for risk adjusted return text
  to plot in the legend.}

  \item{rf}{risk free rate. If \code{rf} is not null, the
  maximum Sharpe Ratio or modified Sharpe Ratio tangency
  portfolio will be plotted.}

  \item{tangent.line}{TRUE/FALSE to plot the tangent line.}

  \item{cex.legend}{numerical value giving the amount by
  which the legend should be magnified relative to the
  default.}

  \item{chart.assets}{TRUE/FALSE to include the assets.}

  \item{labels.assets}{TRUE/FALSE to include the asset
  names in the plot. \code{chart.assets} must be
  \code{TRUE} to plot asset names.}

  \item{pch.assets}{plotting character of the assets, same
  as in \code{\link{plot}}.}

  \item{cex.assets}{numerical value giving the amount by
  which the asset points and labels should be magnified
  relative to the default.}
}
\description{
  Chart the efficient frontier and risk-return scatter of
  the assets for \code{optimize.portfolio} or
  \code{efficient.frontier} objects
}
\details{
  For objects created by optimize.portfolio with 'DEoptim',
  'random', or 'pso' specified as the optimize_method:
  \itemize{ \item The efficient frontier plotted is based
  on the the trace information (sets of portfolios tested
  by the solver at each iteration) in objects created by
  \code{optimize.portfolio}. }

  For objects created by optimize.portfolio with 'ROI'
  specified as the optimize_method: \itemize{ \item The
  mean-StdDev or mean-ETL efficient frontier can be plotted
  for optimal portfolio objects created by
  \code{optimize.portfolio}.

  \item If \code{match.col="StdDev"}, the mean-StdDev
  efficient frontier is plotted.

  \item If \code{match.col="ETL"} (also "ES" or "CVaR"),
  the mean-ETL efficient frontier is plotted. }

  Note that \code{trace=TRUE} must be specified in
  \code{\link{optimize.portfolio}}

  GenSA does not return any useable trace information for
  portfolios tested at each iteration, therfore we cannot
  extract and chart an efficient frontier.

  By default, the tangency portfolio (maximum Sharpe Ratio
  or modified Sharpe Ratio) will be plotted using a risk
  free rate of 0. Set \code{rf=NULL} to omit this from the
  plot.
}
\author{
  Ross Bennett
}