chart.EfficientFrontier.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/charts.efficient.frontier.R
\name{chart.EfficientFrontier}
\alias{chart.EfficientFrontier}
\alias{chart.EfficientFrontier.optimize.portfolio.CVXR}
\alias{chart.EfficientFrontier.optimize.portfolio.ROI}
\alias{chart.EfficientFrontier.optimize.portfolio}
\alias{chart.EfficientFrontier.efficient.frontier}
\title{Chart the efficient frontier and risk-return scatter}
\usage{
chart.EfficientFrontier(object, ...)

\method{chart.EfficientFrontier}{optimize.portfolio.CVXR}(
  object,
  ...,
  optimize_method = "CVXR",
  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.ROI}(
  object,
  ...,
  optimize_method = "ROI",
  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{optimize_method}{the optimize method to get the efficient frontier}

\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, Xinran Zhao
}