CoCalc -- stackedweightriskcontributionplot.R

GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/paper_analysis/R_interpretation/old/stackedweightriskcontributionplot.R
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#################################################################################
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# Create stacked risk contributions plot
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#################################################################################
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# ! Set your working directory (folder containing the subfolders R_allocation, R_interpretation, data, weights, etc)
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setwd("c:/Documents and Settings/Administrator/Desktop/risk budget programs")
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# Options:
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################
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# Choose data
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datacase = "equitybondscommodity"# "intequitybonds" # equitybondscommodity
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percriskcontribcriterion = "mES"
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# specify the optimization criteria you want to analyze
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# crit1 = "StdDev"; crit2="SR.StdDev" 
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crit1 = "mES"; crit2="SR.mES" 
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# specify the number of years used for the estimation
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estyears = 4;
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# specify the risk budget constraint
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RBconstraint = 0.4; 
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# Load programs
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source("R_interpretation/chart.StackedBar.R"); 
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library(zoo);  library(PerformanceAnalytics)
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# number of risky assets
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firstyear = 1976 ; firstquarter = 1; lastyear = 2009; lastquarter = 2; 
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cAssets = 4 
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# frequency of rebalancing: yearly of quarterly
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frequency = "quarterly"
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# Load portfolio weights:
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criterion = paste(crit1,".",estyears,"yr",sep="")
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weightsEW = read.csv( file = paste("weights/", percriskcontribcriterion,"/",datacase,"/",frequency,"/EW.csv" , sep="")  );
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weightsconst.crit1 = read.csv( file = paste("weights/", percriskcontribcriterion,"/",datacase,"/",frequency,"/", criterion , "-Inf",RBconstraint,".csv" , sep="")  );
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weightsInf.crit1 = read.csv( file = paste("weights/", percriskcontribcriterion,"/",datacase,"/",frequency,"/",criterion , "-InfInf.csv" , sep="")  );
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weightsconst.crit1 = read.csv( file = paste("weights/", percriskcontribcriterion,"/",datacase,"/",frequency,"/", criterion , "-Inf",RBconstraint,".csv" , sep="")  );
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weightsERisk = read.csv( file = paste("weights/", percriskcontribcriterion,"/",datacase,"/",frequency,"/unconstrained/", criterion , 0.22,0.28,".csv" , sep="")  );
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weightsMinCVaR =  read.csv( file = paste("weights/", percriskcontribcriterion,"/",datacase,"/",frequency,"/unconstrained/", criterion , 0.22,0.28,".csv" , sep="")  );
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# Load percentage risk contributions:
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riskcontribEW = read.csv( file = paste("riskcont/", percriskcontribcriterion,"/",datacase,"/",frequency,"/EW.csv" , sep="")  );
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criterion = paste("riskcont/",percriskcontribcriterion,"/",datacase,"/",frequency,"/",crit1,".",estyears,"yr",sep="")
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riskcontribInf.crit1 = read.csv( file = paste( criterion , "-InfInf.csv" , sep="")  );
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riskcontribconst.crit1 = read.csv( file = paste( criterion , "-Inf",RBconstraint,".csv" , sep="")  );
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criterion = paste("riskcont/",percriskcontribcriterion,"/",datacase,"/",frequency,"/unconstrained/",crit1,".",estyears,"yr",sep="")
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riskcontribERisk = read.csv( file = paste( criterion , 0.22,0.28,".csv" , sep="")  );
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riskcontribMinCVaR = read.csv( file = paste( criterion , -Inf,Inf,".csv" , sep="")  );
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# Is there cash in any of the portfolios due to infeasibility of the risk budget constraints?
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if( any(weightsconst.crit1[,(1+cAssets)]!=0) | any(weightsERisk[,(1+cAssets)]!=0) ){
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     if(datacase=="intequitybonds"){ w.names = c( "US bond" , "MSCI Europe" , "MSCI Japan", "MSCI US" ,  "T-Bill" ) };
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     if(datacase=="equitybondscommodity"){ w.names = c( "US bond" , "S&P 500" , "MSCI EAFE" , "S&P GSCI",  "T-Bill" ) };
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     colorset = gray( seq(0,(cAssets),1)/5 ) ; #c(gray.colors(11,start=0,end=1)
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}else{
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     if(datacase=="intequitybonds"){    w.names = c( "US bond" , "MSCI Europe" , "MSCI Japan", "MSCI US"   ) };
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     if(datacase=="equitybondscommodity"){ w.names = c( "US bond" , "S&P 500", "MSCI EAFE"  , "S&P GSCI" ) };
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     weightsInf.crit1 = weightsInf.crit1[,1:cAssets]; 
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     weightsconst.crit1 = weightsconst.crit1[,1:cAssets]; 
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     weightsERisk = weightsERisk[,1:cAssets]; 
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     weightsMinCVaR = weightsMinCVaR[,1:cAssets]; 
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     colorset = gray( seq(0,(cAssets-1),1)/cAssets ) ; #c(gray.colors(11,start=0,end=1)
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}
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# Relabel rownames in the plots
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if(frequency=="yearly"){
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   names = seq( (firstyear+estyears),lastyear+1,1) 
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}else{
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   names = paste(rep( seq( (firstyear+estyears),lastyear,1) , each=4),c("Q1","Q2","Q3","Q4"),sep="")  
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   names = c( names , paste( lastyear+1, "Q1" , sep="" ) )  
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   names = names[firstquarter:(length(names)-4+lastquarter)]
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}
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rownames(riskcontribEW) = rownames(riskcontribInf.crit1) = rownames(riskcontribconst.crit1) = rownames(riskcontribERisk) = rownames(riskcontribMinCVaR) = names;  
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#due to rounding, the sum of the risk contributions is sometimes 1 + epsilon: avoid this in plot
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riskcontribEW = riskcontribEW/rowSums(riskcontribEW)
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riskcontribInf.crit1 = riskcontribInf.crit1/rowSums(riskcontribInf.crit1);
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riskcontribconst.crit1 = riskcontribconst.crit1/rowSums(riskcontribconst.crit1);
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riskcontribERisk = riskcontribERisk/rowSums(riskcontribERisk)
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riskcontribMinCVaR = riskcontribMinCVaR/rowSums(riskcontribMinCVaR)
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    # make weights versus risk allocation plot
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postscript( file=paste("fig/",percriskcontribcriterion,"/",datacase,"/",frequency,"/stackedweightriskcontinf.eps",sep="") )
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   layout( matrix(  c(1,2,3,4,5,6,7,4),  ncol = 2 ) , height=c(0.15,2,2*1.4,0.7), width=1)
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   par(mar=c(0.1,4,1,1.1) , cex.main=1)
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   plot.new()
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   title( main = "min StdDev" , cex.main=1.3 )
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   par(mar=c(0,4,2,1) , cex.main=1)
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   barplot(t(weightsInf.crit1),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", 
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          cex.axis=1, cex.lab=1, cex.main=1, axisnames=F )
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   par(mar=c(1,4,1,1.1))
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   chart.StackedBar2(riskcontribInf.crit1,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.2,1.2))
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   par(mar=c(0.1,4,1,1.1))
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   plot.new()
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   legend("center",legend=w.names,fill=colorset,cex=1,ncol=4)
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   par(mar=c(0.1,4,1,1.1) , cex.main=1)
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   plot.new()
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   title( main = "max Sharpe ratio", cex.main=1.3  )
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   par(mar=c(0,4,2,1.1) , cex.main=1)
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   barplot(t(weightsInf.crit2),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F)
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   par(mar=c(1,4,1,1.1))
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   chart.StackedBar2(riskcontribInf.crit2,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.2,1.2))
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dev.off()
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    # make weights versus risk allocation plot
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postscript( file=paste("fig/",percriskcontribcriterion,"/",datacase,"/",frequency,"/stackedweightriskcontconst.eps",sep="") )
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   layout( matrix(  c(1,2,3,4,5,6,7,4),  ncol = 2 ) , height=c(0.15,2,2*1.2,0.6), width=1)
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   par(mar=c(0.1,4,1,1.1) , cex.main=1)
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   plot.new()
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   title( main = "min StdDev" , cex.main=1.3 )
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   par(mar=c(0,4,2,1) , cex.main=1)
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   barplot(t(weightsconst.crit1),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F)
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   par(mar=c(1,4,2,1.1))
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   chart.StackedBar2(riskcontribconst.crit1,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL)
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   par(mar=c(0.1,4,1,1.1))
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   plot.new()
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   legend("center",legend=w.names,fill=colorset,cex=1,ncol=4)
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   par(mar=c(0.1,4,1,1.1) , cex.main=1)
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   plot.new()
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   title( main = "max Sharpe ratio", cex.main=1.3  )
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   par(mar=c(0,4,2,1.1) , cex.main=1)
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   barplot(t(weightsconst.crit2),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F)
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   par(mar=c(1,4,1,1.1))
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   chart.StackedBar2(riskcontribconst.crit2,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL)
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dev.off()
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postscript( file=paste("fig/",percriskcontribcriterion,"/",datacase,"/",frequency,"/stackedweightriskcontconstminCVaR.eps",sep="") )
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   layout( matrix(  c(1,2,3,4,5,6,7,4),  ncol = 2 ) , height=c(0.15,1.6,1.6*2,0.6), width=1)
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   par(mar=c(0.1,4,1,1.1) , cex.main=1)
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   plot.new()
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   title( main = "Investment weight constrained" , cex.main=1.3 )
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   par(mar=c(0,4,2,1) , cex.main=1)
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   barplot(t(weightsInf.crit1),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F)
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   par(mar=c(1,4,2,1.1))
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   chart.StackedBar2(riskcontribInf.crit1,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4))
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   par(mar=c(0.1,4,1,1.1))
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   plot.new()
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   legend("center",legend=w.names,fill=colorset,cex=1,ncol=4)
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   par(mar=c(0.1,4,1,1.1) , cex.main=1)
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   plot.new()
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   title( main = "Risk budget constrained", cex.main=1.3  )
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   par(mar=c(0,4,2,1.1) , cex.main=1)
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   barplot(t(weightsconst.crit1),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F)
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   par(mar=c(1,4,1,1.1))
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   chart.StackedBar2(riskcontribconst.crit1,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4) )
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dev.off()
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mar1 =c(0.1,l,1,1.1)
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mar2 =c(0,l,2,1)
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mar3 = c(1,l,2,1.1)
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postscript( file=paste("fig/",percriskcontribcriterion,"/",datacase,"/",frequency,"/stackedweightriskcontconstminCVaR.eps",sep="") )
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   l = 4
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   layout( matrix(  c(1,2,3,4,5,6,7,4,8,9,10,4,11,12,13,4,14,15,16,4),  ncol = 5 ) , height= c(0.15,1.5,1.5*2,0.6), width=1)
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   par(mar=mar1 , cex.main=1)
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   plot.new()
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   title( main = "Equal-weighted" , cex.main=1.3 )
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   par(mar=mar2 , cex.main=1)
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   barplot(t(weightsEW),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1,  cex.main=1, axisnames=F,border = F )
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   par(mar=mar3)
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   chart.StackedBar2(riskcontribEW,axisnames=T, colorset=colorset,space=0, cex.names=1.3,    
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4),border = F)
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   par(mar=mar1)
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   plot.new()
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   legend("center",legend=w.names,fill=colorset,cex=1,ncol=4)
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   plot.new()
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   title( main = "Min CVaR" , cex.main=1.3 )
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   par(mar=mar2 , cex.main=1)
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   barplot(t(weightsMinCVaR),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1,  cex.main=1, axisnames=F,border = F )
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   par(mar=mar3)
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   chart.StackedBar2(riskcontribMinCVaR,axisnames=T, colorset=colorset,space=0, cex.names=1.3,    
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4),border = F)
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   par(mar=mar1 , cex.main=1)
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   plot.new()
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   title( main = "Min CVaR, w <= 0.4" , cex.main=1.3 )
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   par(mar=c(0,l,2,1) , cex.main=1)
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   barplot(t(weightsInf.crit1),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F,border = F)
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   par(mar=mar2)
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   chart.StackedBar2(riskcontribInf.crit1,axisnames=T, colorset=colorset,space=0, cex.names=1,   
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4),border = F)
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   par(mar=mar3)
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  # plot.new()
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   #legend("center",legend=w.names,fill=colorset,cex=1,ncol=4)
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   par(mar=mar1 , cex.main=1)
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   plot.new()
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   title( main = "Min CVaR, %Contrib CVaR <= 0.4", cex.main=1.3  )
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   par(mar=mar2 , cex.main=1)
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   barplot(t(weightsconst.crit1),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1,  cex.main=1, axisnames=F,border =F)
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   par(mar=mar3)
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   chart.StackedBar2(riskcontribconst.crit1,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4),border = F )
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   par(mar=mar1 , cex.main=1)
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   plot.new()
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   title( main = "Equal %Contrib to CVaR", cex.main=1.3  )
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   par(mar=mar2 , cex.main=1)
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   barplot(t(weightsERisk),col=colorset,space=0, cex=.7, main = "Weight allocation", ylab="", cex.axis=1, cex.lab=1, cex.main=1, axisnames=F,border = F)
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   par(mar=mar3)
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   chart.StackedBar2(riskcontribERisk,axisnames=T, colorset=colorset,space=0, cex.names=1,  
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          main = "Risk allocation", ylab="",cex.axis=1.1, cex.lab=1, cex.main=1,legend.loc = NULL, ylim=c(-0.4,1.4),border = F )
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dev.off()
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