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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/sandbox/paper_analysis/R_interpretation/old/stackedweightriskcontributionplot_Oct.R
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#################################################################################

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# Create stacked weights and 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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# specify the number of years used for the estimation

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estyears = 8;

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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 = 4; 

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cAssets = 4 

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names = c( "EqualWeight" , "EqualRisk" ,

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           "MinRisk" , "MinRisk_PositionLimit" , "MinRisk_RiskLimit" , "MinRisk_ReturnTarget",

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           "MinRiskConc" , "MinRiskConc_PositionLimit" ,  "MinRiskConc_ReturnTarget")

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namelabels = c( "Equal Weight" , "Equal Risk" ,

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                 "Min CVaR" , "Min CVaR + Position Limit" , "Min CVaR + CVaR Alloc Limit" , "Min CVaR + Return Target" ,

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                 "Min CVaR Conc" , "Min CVaR Conc + Position Limit" ,  "Min CVaR Conc + Return Target" ) 

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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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weightsS1 = read.csv( file = paste("weights/", names[1], ".csv" , sep="")  );

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weightsS2 = read.csv( file = paste("weights/", names[2], ".csv" , sep="")  );

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weightsS3 = read.csv( file = paste("weights/", names[3], ".csv" , sep="")  );

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weightsS4 = read.csv( file = paste("weights/", names[4], ".csv" , sep="")  );

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weightsS5 = read.csv( file = paste("weights/", names[5], ".csv" , sep="")  );

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weightsS6 = read.csv( file = paste("weights/", names[6], ".csv" , sep="")  );

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weightsS7 = read.csv( file = paste("weights/", names[7], ".csv" , sep="")  );

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weightsS8 = read.csv( file = paste("weights/", names[8], ".csv" , sep="")  );

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weightsS9 = read.csv( file = paste("weights/", names[9], ".csv" , sep="")  );

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# Load percentage risk contributions:

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riskcontS1 = read.csv( file = paste("riskcont/", names[1], ".csv" , sep="")  );

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riskcontS2 = read.csv( file = paste("riskcont/", names[2], ".csv" , sep="")  );

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riskcontS3 = read.csv( file = paste("riskcont/", names[3], ".csv" , sep="")  );

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riskcontS4 = read.csv( file = paste("riskcont/", names[4], ".csv" , sep="")  );

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riskcontS5 = read.csv( file = paste("riskcont/", names[5], ".csv" , sep="")  );

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riskcontS6 = read.csv( file = paste("riskcont/", names[6], ".csv" , sep="")  );

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riskcontS7 = read.csv( file = paste("riskcont/", names[7], ".csv" , sep="")  );

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riskcontS8 = read.csv( file = paste("riskcont/", names[8], ".csv" , sep="")  );

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riskcontS9 = read.csv( file = paste("riskcont/", names[9], ".csv" , sep="")  );

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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(weightsS1) = rownames(weightsS2) = rownames(weightsS3) = rownames(weightsS4) = rownames(weightsS5) = names; 

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rownames(weightsS6) = rownames(weightsS7) = rownames(weightsS8) = rownames(weightsS9) = names; 

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rownames(riskcontS1) = rownames(riskcontS2) = rownames(riskcontS3) = rownames(riskcontS4) = rownames(riskcontS5) = names;  

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rownames(riskcontS6) = rownames(riskcontS7) = rownames(riskcontS8) = rownames(riskcontS9) = names;  

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 colorset = gray( seq(0,(cAssets-1),1)/cAssets ) ; 

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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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riskcontS1 = riskcontS1/rowSums(riskcontS1); riskcontS2 = riskcontS2/rowSums(riskcontS2); 

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riskcontS3 = riskcontS3/rowSums(riskcontS3); riskcontS4 = riskcontS4/rowSums(riskcontS4); 

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riskcontS5 = riskcontS5/rowSums(riskcontS5); riskcontS6 = riskcontS6/rowSums(riskcontS6); 

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riskcontS7 = riskcontS7/rowSums(riskcontS7); riskcontS8 = riskcontS8/rowSums(riskcontS8); 

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riskcontS9 = riskcontS9/rowSums(riskcontS9); 

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w.names = c( "US bond" , "S&P 500", "EAFE"  , "GSCI" )

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 l = 2

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mar1 =c(2,l,2,1.1)

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mar2 =c(0,l,2,1)

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mar3 = c(3,l+1,3,0.1)

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# Stacked weights plot: 

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postscript('stackedweights.eps') 

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   layout( matrix(  c(1,2,3,4,5,6,7,4,8,9,10,4),  ncol = 3 ) , height= c(1.5,1.5,1.5,0.7), width=1)

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   par(mar=mar3 , cex.main=1)

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   chart.StackedBar2(weightsS1,col=colorset,space=0,  main = namelabels[1] , ylab="", las=1, l=2.5, r=0.4, cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T, legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS2,col=colorset,space=0,  main = namelabels[2], ylab="", las=1, l=2.5, r=0.4,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS3,col=colorset,space=0,  main = namelabels[3], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   par(mar=mar1 , cex.main=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=mar3 , cex.main=1)

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   chart.StackedBar2(weightsS4,col=colorset,space=0, main = namelabels[4], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS5,col=colorset,space=0,  main = namelabels[5], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS6,col=colorset,space=0,  main = namelabels[6], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS7,col=colorset,space=0,  main = namelabels[7], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS8,col=colorset,space=0,  main = namelabels[8], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(weightsS9,col=colorset,space=0,  main = namelabels[9], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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dev.off()

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# Stacked percentage CVaR plot: 

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postscript('stackedpercCVaR.eps') 

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   layout( matrix(  c(1,2,3,4,5,6,7,4,8,9,10,4),  ncol = 3 ) , height= c(1.5,1.5,1.5,0.7), width=1)

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   par(mar=mar3 , cex.main=1)

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   chart.StackedBar2(riskcontS1,col=colorset,space=0,  main = namelabels[1] , ylab="", las=1, l=2.5, r=0.4, cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T, legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS2,col=colorset,space=0,  main = namelabels[2], ylab="", las=1, l=2.5, r=0.4,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS3,col=colorset,space=0,  main = namelabels[3], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   par(mar=mar1 , cex.main=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=mar3 , cex.main=1)

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   chart.StackedBar2(riskcontS4,col=colorset,space=0, main = namelabels[4], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS5,col=colorset,space=0,  main = namelabels[5], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS6,col=colorset,space=0,  main = namelabels[6], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS7,col=colorset,space=0, main = namelabels[7], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS8,col=colorset,space=0, main = namelabels[8], ylab="", las=1, l=2.4, r=0.5,  cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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   chart.StackedBar2(riskcontS9,col=colorset,space=0,  main = namelabels[9], ylab="", las=1,l=2.4, r=0.5,   cex.axis=1, cex.lab=1,  cex.main=1, axisnames=T,legend.loc = NULL,ylim=c(0,1),border = F )

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dev.off()

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