[Returnanalytics-commits] r2995 - pkg/PortfolioAnalytics/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Sep 5 03:41:28 CEST 2013
Author: rossbennett34
Date: 2013-09-05 03:41:28 +0200 (Thu, 05 Sep 2013)
New Revision: 2995
Added:
pkg/PortfolioAnalytics/man/HHI.Rd
pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
pkg/PortfolioAnalytics/man/chart.RiskReward.Rd
pkg/PortfolioAnalytics/man/chart.Weights.Rd
Log:
Adding documentation files missed in last commit.
Added: pkg/PortfolioAnalytics/man/HHI.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/HHI.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/HHI.Rd 2013-09-05 01:41:28 UTC (rev 2995)
@@ -0,0 +1,19 @@
+\name{HHI}
+\alias{HHI}
+\title{Concentration of weights}
+\usage{
+ HHI(weights, groups = NULL)
+}
+\arguments{
+ \item{weights}{set of portfolio weights}
+
+ \item{groups}{list of vectors of grouping}
+}
+\description{
+ This function computes the concentration of weights using
+ the Herfindahl Hirschman Index
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd 2013-09-05 01:41:28 UTC (rev 2995)
@@ -0,0 +1,106 @@
+\name{chart.EfficientFrontier}
+\alias{chart.EfficientFrontier}
+\title{Chart the efficient frontier and risk-return scatter}
+\usage{
+ chart.EfficientFrontier(object, match.col, n.portfolios,
+ ...)
+}
+\arguments{
+ \item{object}{object to chart}
+
+ \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{\dots}{passthru parameters to \code{\link{plot}}}
+
+ \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}{A 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}{Risk Adjusted Return ratio 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}{A 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}{A 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 optimize.portfolio and 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
+
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/chart.RiskReward.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.RiskReward.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/chart.RiskReward.Rd 2013-09-05 01:41:28 UTC (rev 2995)
@@ -0,0 +1,61 @@
+\name{chart.RiskReward}
+\alias{chart.RiskReward}
+\alias{chart.RiskReward.optimize.portfolio.DEoptim}
+\alias{chart.RiskReward.optimize.portfolio.GenSA}
+\alias{chart.RiskReward.optimize.portfolio.pso}
+\alias{chart.RiskReward.optimize.portfolio.ROI}
+\alias{chart.RiskReward.optimize.portfolio.RP}
+\title{classic risk reward scatter}
+\usage{
+ chart.RiskReward(object, neighbors, ..., return.col,
+ risk.col, chart.assets, element.color, cex.axis, xlim,
+ ylim)
+}
+\arguments{
+ \item{object}{optimal portfolio created by
+ \code{\link{optimize.portfolio}}}
+
+ \item{neighbors}{set of 'neighbor' portfolios to
+ overplot, see Details}
+
+ \item{\dots}{any other passthru parameters}
+
+ \item{return.col}{string matching the objective of a
+ 'return' objective, on vertical axis}
+
+ \item{risk.col}{string matching the objective of a 'risk'
+ objective, on horizontal axis}
+
+ \item{chart.assets}{TRUE/FALSE. Includes a risk reward
+ scatter of the assets in the chart}
+
+ \item{element.color}{color for the default plot scatter
+ points}
+
+ \item{cex.axis}{The magnification to be used for axis
+ annotation relative to the current setting of \code{cex}}
+
+ \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}}}
+}
+\description{
+ \code{neighbors} may be specified in three ways. The
+ first is as a single number of neighbors. This will
+ extract the \code{neighbors} closest portfolios in terms
+ of the \code{out} numerical statistic. The second method
+ consists of a numeric vector for \code{neighbors}. This
+ will extract the \code{neighbors} with portfolio index
+ numbers that correspond to the vector contents. The third
+ method for specifying \code{neighbors} is to pass in a
+ matrix. This matrix should look like the output of
+ \code{\link{extractStats}}, and should contain
+ \code{risk.col},\code{return.col}, and weights columns
+ all properly named.
+}
+\seealso{
+ \code{\link{optimize.portfolio}}
+}
+
Added: pkg/PortfolioAnalytics/man/chart.Weights.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.Weights.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/chart.Weights.Rd 2013-09-05 01:41:28 UTC (rev 2995)
@@ -0,0 +1,51 @@
+\name{chart.Weights}
+\alias{chart.Weights}
+\alias{chart.Weights.optimize.portfolio.DEoptim}
+\alias{chart.Weights.optimize.portfolio.GenSA}
+\alias{chart.Weights.optimize.portfolio.pso}
+\alias{chart.Weights.optimize.portfolio.ROI}
+\alias{chart.Weights.optimize.portfolio.RP}
+\title{boxplot of the weights of the optimal portfolios}
+\usage{
+ chart.Weights(object, neighbors = NULL, ...,
+ main = "Weights", las = 3, xlab = NULL, cex.lab = 1,
+ element.color = "darkgray", cex.axis = 0.8)
+}
+\arguments{
+ \item{object}{optimal portfolio object created by
+ \code{\link{optimize.portfolio}}}
+
+ \item{neighbors}{set of 'neighbor' portfolios to
+ overplot}
+
+ \item{\dots}{any other passthru parameters}
+
+ \item{main}{an overall title for the plot: see
+ \code{\link{title}}}
+
+ \item{las}{numeric in \{0,1,2,3\}; the style of axis
+ labels \describe{ \item{0:}{always parallel to the axis
+ [\emph{default}],} \item{1:}{always horizontal,}
+ \item{2:}{always perpendicular to the axis,}
+ \item{3:}{always vertical.} }}
+
+ \item{xlab}{a title for the x axis: see
+ \code{\link{title}}}
+
+ \item{cex.lab}{The magnification to be used for x and y
+ labels relative to the current setting of \code{cex}}
+
+ \item{element.color}{color for the default plot lines}
+
+ \item{cex.axis}{The magnification to be used for axis
+ annotation relative to the current setting of \code{cex}}
+}
+\description{
+ Chart the optimal weights and upper and lower bounds on
+ weights of a portfolio run via
+ \code{\link{optimize.portfolio}}
+}
+\seealso{
+ \code{\link{optimize.portfolio}}
+}
+
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