PortfolioAnalytics: chart.RiskReward – R documentation

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PortfolioAnalytics

chart.RiskReward

classic risk reward scatter

Description

This function charts the optimize.portfolio object in risk-return space.

Usage

chart.RiskReward(object, ...)

## S3 method for class 'optimize.portfolio.DEoptim'
chart.RiskReward(object, ...,
  neighbors = NULL, return.col = "mean", risk.col = "ES",
  chart.assets = FALSE, element.color = "darkgray", cex.axis = 0.8,
  xlim = NULL, ylim = NULL)

## S3 method for class 'optimize.portfolio.GenSA'
chart.RiskReward(object, ...,
  neighbors = NULL, return.col = "mean", risk.col = "ES",
  chart.assets = FALSE, element.color = "darkgray", cex.axis = 0.8,
  ylim = NULL, xlim = NULL, rp = FALSE)

## S3 method for class 'optimize.portfolio.pso'
chart.RiskReward(object, ...,
  neighbors = NULL, return.col = "mean", risk.col = "ES",
  chart.assets = FALSE, element.color = "darkgray", cex.axis = 0.8,
  xlim = NULL, ylim = NULL)

## S3 method for class 'optimize.portfolio.ROI'
chart.RiskReward(object, ...,
  neighbors = NULL, return.col = "mean", risk.col = "ES",
  chart.assets = FALSE, element.color = "darkgray", cex.axis = 0.8,
  xlim = NULL, ylim = NULL, rp = FALSE)

## S3 method for class 'optimize.portfolio.random'
chart.RiskReward(object, ...,
  neighbors = NULL, return.col = "mean", risk.col = "ES",
  chart.assets = FALSE, element.color = "darkgray", cex.axis = 0.8,
  xlim = NULL, ylim = NULL)

## S3 method for class 'opt.list'
chart.RiskReward(object, ..., risk.col = "ES",
  return.col = "mean", main = "", ylim = NULL, xlim = NULL,
  labels.assets = TRUE, chart.assets = FALSE, pch.assets = 1,
  cex.assets = 0.8, cex.axis = 0.8, cex.lab = 0.8, colorset = NULL,
  element.color = "darkgray")

Arguments

`object`	optimal portfolio created by `optimize.portfolio`.
`...`	any other passthru parameters.
`neighbors`	set of 'neighbor' portfolios to overplot, see Details.
`return.col`	string matching the objective of a 'return' objective, on vertical axis.
`risk.col`	string matching the objective of a 'risk' objective, on horizontal axis.
`chart.assets`	TRUE/FALSE. Includes a risk reward scatter of the assets in the chart.
`element.color`	color for the default plot scatter points.
`cex.axis`	The magnification to be used for axis annotation relative to the current setting of `cex`.
`xlim`	set the x-axis limit, same as in `plot`.
`ylim`	set the y-axis limit, same as in `plot`.
`rp`	TRUE/FALSE to generate random portfolios to plot the feasible space
`main`	a main title for the plot.
`labels.assets`	TRUE/FALSE to include the names in the plot.
`pch.assets`	plotting character of the assets, same as in `plot`
`cex.assets`	numerical value giving the amount by which the asset points should be magnified relative to the default.
`cex.lab`	numerical value giving the amount by which the labels should be magnified relative to the default.
`colorset`	color palette or vector of colors to use.

Details

neighbors may be specified in three ways. The first is as a single number of neighbors. This will extract the neighbors closest portfolios in terms of the out numerical statistic. The second method consists of a numeric vector for neighbors. This will extract the neighbors with portfolio index numbers that correspond to the vector contents. The third method for specifying neighbors is to pass in a matrix. This matrix should look like the output of extractStats, and should contain risk.col,return.col, and weights columns all properly named.