[R-SIG-Finance] PortfolioAnalytics question re: showing results

Brian G. Peterson brian at braverock.com
Mon Mar 21 14:31:52 CET 2016

On Mon, 2016-03-21 at 07:42 -0500, matt at considine.net wrote:
> In running the chart.RiskReward code, the "Optimal" portfolio is being
> plotted in the middle of the feasible portfolio set. Why would that be
> happening? Or is it because I am using customized risk/return calcs
> and the corresponding values for the optimal portfolio are not being
> scaled?
If the optimal portfolio was calculated with the objectives that agree
with your axes, it should be on the outer hull of the feasible space.

If, however, the optimal portfolio was calculated with different
objectives or constraints, then it may indeed be inside the overall
feasible space.

The addition or constraints or additional objectives will shrink the
feasible space.  This is why comparing the efficient frontiers of
portfolios built with different objectives and constraints will alway
sweep out a smaller area for the more constrained portfolios.  It is
also why if you plot a mean-ES objective against a mean-var set of axes
that your optimal portfolio may show up inside the feasible cloud.

> I tried to get at the underlying plotting code, but the View function
> returns "uses method chart.RiskReward". Is there an easy way to see
> and edit that underlying code? Apologies if the answer to this is
> incredibly straightforward, but the answer will also help me create
> versions of the
> *.EfficientFrontier functions to use with customized risk/return
> functions 

The changes to do what you want to do may be rather simple.

chart.EfficientFrontier should be modified to take a risk.col and a
return.col argument.  The same should happen to the
extractEfficientFrontier function and its methods.  Most of the
underlying code lives in a non-exported function called

All of these functions live in file extract.efficient.frontier.R 

It would be simplest to work from the original source file from svn,
since that is commented.  the code you look at from inside R will have
the comments stripped out.

If you don't make any progress on this, it is now on our list to improve
based on your questions, but I don't know when we'll get to it.



Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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