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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/demo/chart_concentration.R
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#' ---

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#' title: "chart.Concentration Demo"

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#' author: "Ross Bennett"

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#' date: "7/17/2014"

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#' ---

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#' This script demonstrates how to use chart.Concentration to visualize

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#' the concentration of the portfolio.

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library(PortfolioAnalytics)

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data(edhec)

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R <- edhec[, 1:8]

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funds <- colnames(R)

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#' Construct initial portfolio

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init.portf <- portfolio.spec(assets=funds)

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init.portf <- add.constraint(portfolio=init.portf, 

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                             type="leverage", 

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                             min_sum=0.99, 

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                             max_sum=1.01)

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init.portf <- add.constraint(portfolio=init.portf, 

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                             type="box", 

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                             min=0, 

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                             max=1)

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init.portf <- add.objective(portfolio=init.portf, 

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                            type="return", 

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                            name="mean", 

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                            multiplier=0)

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init.portf <- add.objective(portfolio=init.portf, 

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                            type="risk", 

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                            name="ES")

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#' Construct a risk budget portfolio.

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rb.portf <- add.objective(portfolio=init.portf, 

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                          type="risk_budget", 

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                          name="ES",

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                          max_prisk=0.4, 

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                          arguments=list(p=0.92))

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#' Use random portfolios for optimization.

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opt <- optimize.portfolio(R=R, 

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                          portfolio=init.portf, 

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                          optimize_method="random", 

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                          search_size=2000, 

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                          trace=TRUE)

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opt_rb <- optimize.portfolio(R=R, 

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                             portfolio=rb.portf, 

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                             optimize_method="random", 

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                             search_size=2000, 

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                             trace=TRUE)

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#' This won't work because opt is not a risk budget optimization.

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#' This should result in an error and not plot anything.

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#chart.Concentration(opt, conc.type="pct_contrib")

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#' `opt` is minimum ES optimization so we can still chart it using weights as

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#' the measure of concentration.

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chart.Concentration(opt, conc.type="weights", chart.assets=TRUE, col=heat.colors(10))

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chart.Concentration(opt, conc.type="weights", chart.assets=TRUE, col=bluemono)

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#' Here we plot the concentration based on the HHI of the percentage component 

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#' contribution to risk.

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chart.Concentration(opt_rb, conc.type="pct_contrib")

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#' Here we plot the concentration is based on the HHI of the weights.

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chart.Concentration(opt_rb, conc.type="weights")

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