fPORTFOLIO-class         package:fPortfolio         R Documentation

_P_o_r_t_f_o_l_i_o _C_l_a_s_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions  allowing to gain
     information about optimal  portfolios. Generally, optimization is
     done  via three arguments, data, specification of  the portfolio,
     and constraints, while function portfolioFrontier has two
     additional  arguments for title and description.

_U_s_a_g_e:

     ## S3 method for class 'fPORTFOLIO':
     plot(x, which = "ask", control = list(), ...)

     ## S3 method for class 'fPORTFOLIO':
     summary(object, ...)

_A_r_g_u_m_e_n_t_s:

 control: a list, defining the plotting parameters. The list modifies
          amongst others the color, e.g. 'minvariance.col', type of
          point, e.g. 'tangency.pch', or the dimension of the point,
          e.g. 'cml.cex', see Notes for a complete list of control
          parameters. 

   which: which of the plots should be displayed? 'which' can be either
          a  character string, '"all"' (displays all plots) or '"ask"' 
          (interactively asks which one to display), or a vector of
          integer values displaying the corresponding plot. Default
          value is  '"ask"'. 

object, x: an S4 object of class 'fPORTFOLIO'. 

     ...: optional arguments to be passed.


_D_e_t_a_i_l_s:

     *Portfolio Class:* 

     This S4 class contains all information about the portfolio.
     Basically  these are risk measure, mean and covariance estimation,
     target return,  risk free rate, number of frontier points, ranges
     for calculation, see  the "Value" section  for a detailed
     description of the slots.

_V_a_l_u_e:

     'portfolioFrontier()'
      returns an S4 object of class '"fPORTFOLIO"', with the following 
     slots:

   @call: a call, returning the matched function call. 

   @data: a list with two named elements, 'series' holding the time
          series data if available, otherwise NA, and 'statistics',
          itself a named list with two named elements 'mu' and 'Sigma'
          holding the vector of means and the matrix of covariances. 

@description: a character string, allowing for a brief project
          description. 

@portfolio: a list, containing parameter specifications for the
          portfolio:
            'weights' a numeric vector specifying the portfolio 
          weights,
           'targetReturn' a numeric value specifying the target 
          return,
           'targetRisk' a numeric value specifying the target  risk,
             'targetMean' a numeric value specifying the target  return
          determinated with function mean(),
           'targetStdev' a numeric value specifying the target risk in 
          standart deviation as risk measure. 

@specification: a list with one named element 'spec' which represents
          an object  of class 'fPFOLIOSPEC', including all information
          about the portfolio specifications, see 'PortfolioSpec' for
          further details. 

  @title: a title string. 


     'feasiblePortfolio'
      'cmlPortfolio'
      'tangencyPortfolio'
      'minvariancePortfolio'
      'efficientPortfolio'
      return an S4 object of class 'fPORTFOLIO' having information only
      about one portfolio.

_C_o_n_t_r_o_l _P_a_r_a_m_e_t_e_r_s:

     In the following all elements of argument control from functions
     'plot', 'weightsSlider', 'frontierSlider' are listed. 


     _s_l_i_d_e_r_R_e_s_o_l_u_t_i_o_n [weightsSlider, frontierSlider] -  a numeric,
          determining the numbers of slider points, by default 
          nFrontierPoints/10. 

     _s_l_i_d_e_r_F_l_a_g [weightsSlider, frontierSlider] -  a character string,
          denoting the slidertype, by default "frontier" for
          'frontierSlider' and "weights" for 'weightsSlider'. 

     _s_h_a_r_p_e_R_a_t_i_o._c_o_l [plot, frontierSlider] -  a character string,
          defining color of the Sharpe ratio plot, by default "black".

     _m_i_n_v_a_r_i_a_n_c_e._c_o_l a character string, defining color of the minimum
          variance portfolio, by default "red".

     _t_a_n_g_e_n_c_y._c_o_l a character string, defining color of the tangency
          portfolio, by default "steelblue".

     _c_m_l._c_o_l [plot, frontierSlider] -  a character string, defining 
          color of the market portfolio and the capital market line, by
          default "green".

     _e_q_u_a_l_W_e_i_g_h_t_s._c_o_l [plot, frontierSlider] -  a character string,
          defining the color of the equal weights portfolio, by default
          "blue".

     _r_u_n_n_i_n_g_P_o_i_n_t._c_o_l [weightsSlider] -  a character string, defining
          color of the point indicating the current portfolio, by
          default "red".

     _s_i_n_g_l_e_A_s_s_e_t._c_o_l a character string vector, defining color of the
          single asset portfolios. The vector must have length the
          number  of assets, by default 'rainbow'.

     _t_w_o_A_s_s_e_t_s._c_o_l [plot, frontierSlider] -  a character string,
          defining color of the two assets efficient frontier, by
          default "grey".

     _m_o_n_t_e_C_a_r_l_o._c_o_l [plot, frontierSlider] -  a character string,
          defining color of the Monte Carlo portfolios, by default
          "black". 

     _m_i_n_v_a_r_i_a_n_c_e._p_c_h a number, defining symbol used for the minimum
          variance portfolio. See 'points' for description. Default
          symbol is 17.

     _t_a_n_g_e_n_c_y._p_c_h a number, defining symbol used for the tangency
          portfolio. See 'points' for description. Default symbol is
          17.

     _c_m_l._p_c_h [plot, frontierSlider] -  a number, defining symbol used
          for the market portfolio. See 'points' for description.
          Default symbol is 17.

     _e_q_u_a_l_W_e_i_g_h_t_s._p_c_h [plot, frontierSlider] -  a number, defining
          symbol used for the equal weights portfolio. See 'points' for
          description. Default symbol is 15. 

     _s_i_n_g_l_e_A_s_s_e_t._p_c_h a number, defining symbol used for the single
          asset portfolios. See 'points' for description. Default
          symbol is 18. 

     _s_h_a_r_p_e_R_a_t_i_o._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the Sharpe ratio plot, by default 0.1.

     _m_i_n_v_a_r_i_a_n_c_e._c_e_x a number, determining size (percentage) of the
          minimum variance portfolio symbol, by default 1.

     _t_a_n_g_e_n_c_y._c_e_x a number, determining size (percentage) of the
          tangency portfolio symbol, by default 1.25.

     _c_m_l._c_e_x [plot, frontierSlider] -  a number, determining size
          (percentage) of the market portfolio symbol, by default 1.25.

     _e_q_u_a_l_W_e_i_g_h_t_s._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the equal weights portfolio symbol, by
          default 0.8.

     _r_u_n_n_i_n_g_P_o_i_n_t._c_e_x [weightsSlider] -  a number, determining size
          (percentage) of the point indicating the current portfolio
          equal weights portfolio symbol, by default 0.8.

     _s_i_n_g_l_e_A_s_s_e_t._c_e_x a number, determining size (percentage) of the
          singel asset portfolio symbols, by default 0.8.

     _t_w_o_A_s_s_e_t_s._c_e_x [plot, frontierSlider] -  a number, determining size
          (percentage) of the two assets efficient frontier plot, by
          default 0.01.

     _m_o_n_t_e_C_a_r_l_o._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the Monte Carol portfolio symbols, by
          default 0.01. 

     _m_o_n_t_e_C_a_r_l_o._c_e_x [plot, frontierSlider] -  a number, determining
          size (percentage) of the Monte Carol portfolio symbols, by
          default 0.01.

     _m_c_S_t_e_p_s [plot] -  a number, determining number of Monte Carol
          portfolio, by default 5000.

     _p_i_e_R [plot, frontierSlider] -  a vector, containing factors for
          shrinking and stretching the x- and y-axis, by default NULL,
          i.e. c(1, 1) is used. Default pie size is  1/15 of the plot
          range.

     _p_i_e_P_o_s [plot, frontierSlider] -  a number, determining the weight
          on the efficient frontier, which is illustrated by the pie.
          Default is tangency portfolio

     _p_i_e_O_f_f_s_e_t [plot, frontierSlider] -  a vector, containing the pie's
          x- and y-axis offset from the efficient frontier. Default is
          NULL, i.e. the pie is set one default radius left of the
          efficient frontier.

     _x_l_i_m [weightsSlider, frontierSlider] -  a vector, containing
          x-axis plot limits of the efficient frontier. Default setting
          is maximum of frontier range or single assets  portfolios.

     _y_l_i_m [weightsSlider, frontierSlider] -  a vector, containing
          y-axis plot limits of the efficient frontier. Default setting
          is maximum of frontier range or single assets  portfolios.  

_R_e_f_e_r_e_n_c_e_s:

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

_E_x_a_m_p_l_e_s:

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