library(timeSeries)

library(fPortfolio)

library(quantmod)

library(caTools)

library(dplyr)

library(PerformanceAnalytics)

library(ggplot2)

#Create Vector of Tickers

tickers <- c("dlf.ns", "gail.ns", "wipro.ns", "heromotoco.ns")

#Calculate Returns: Monthly

portfolioPrices <- NULL

for (Ticker in tickers)

portfolioPrices <- cbind(portfolioPrices,

getSymbols.yahoo(Ticker, from="2012-01-01", auto.assign=FALSE)[,4])

#Delete all dates with no prices

portfolioPrices <- portfolioPrices[apply(portfolioPrices,1,function(x) all(!is.na(x))),]

#Rename Columns

colnames(portfolioPrices) <- tickers

#Calculate Returns: Daily RoC

portfolioReturns <- na.omit(ROC(portfolioPrices, type="discrete"))

portfolioReturns <- as.timeSeries(portfolioReturns)

#Calculate Monthly or Weekly Returns

Stock_Data <- tickers %>% lapply(function(x) getSymbols.yahoo(x, from="2016-01-01",

auto.assign=FALSE)[,4]) %>%

lapply(function(x) monthlyReturn(x))
portfolioReturns <- do.call(merge, Stock_Data)

# keep only the dates that have closing prices for all tickers

portfolioReturns <- portfolioReturns[apply(portfolioReturns,1,function(x) all(!is.na(x))),]

colnames(portfolioReturns) <- tickers

portfolioReturns <- as.timeSeries(portfolioReturns)

effFrontier <- portfolioFrontier(portfolioReturns, constraints = "LongOnly")

# plot frontier

#'Options

#'1: Plot Efficient Frontier

#'2: Plot Minimum Variance Portfolio

#'3: Plot Tangency Portfolio

#'4: Plot Risk Returns of Each Asset

#'5: Plot Equal Weights Portfolio

#'6: Plot Two Asset Frontiers (Long)

#'7: Plot Monte Carlo Portfolios

#'8: Plot Sharpe Ratio

plot(effFrontier,c(1,2,3,4))

#Plot Frontier Weights (Can Adjust Number of Points)

frontierWeights <- getWeights(effFrontier) # get allocations for each instrument for each point on
the efficient frontier

colnames(frontierWeights) <- tickers

risk_return <- frontierPoints(effFrontier)

write.csv(risk_return, "risk_return.csv")

#Output Correlation

cor_matrix <- cor(portfolioReturns)

cov_matrix <- cov(portfolioReturns)

write.csv(cov_matrix, "covmatrix.csv")

cov_matrix

#Annualize Data

riskReturnPoints <- frontierPoints(effFrontier) # get risk and return values for points on the efficient
frontier

annualizedPoints <- data.frame(targetRisk=riskReturnPoints[, "targetRisk"] * sqrt(252),

targetReturn=riskReturnPoints[,"targetReturn"] * 252)

plot(annualizedPoints)

# plot Sharpe ratios for each point on the efficient frontier

riskFreeRate <- 0

plot((annualizedPoints[,"targetReturn"]-riskFreeRate) / annualizedPoints[,"targetRisk"], xlab="point

on efficient frontier", ylab="Sharpe ratio")

#Plot Frontier Weights (Need to transpose matrix first)

barplot(t(frontierWeights), main="Frontier Weights", col=cm.colors(ncol(frontierWeights)+2),

legend=colnames(frontierWeights))

#Get Minimum Variance Port, Tangency Port, etc.

mvp <- minvariancePortfolio(portfolioReturns, spec=portfolioSpec(), constraints="LongOnly")

mvp

tangencyPort <- tangencyPortfolio(portfolioReturns, spec=portfolioSpec(), constraints="LongOnly")

tangencyPort

mvpweights <- getWeights(mvp)

tangencyweights <- getWeights(tangencyPort)

#Extract value at risk

covRisk(portfolioReturns, mvpweights)

varRisk(portfolioReturns, mvpweights, alpha = 0.05)

cvarRisk(portfolioReturns, mvpweights, alpha = 0.05)

#Plot MVP Weights: Basic Graphs

barplot(mvpweights, main="Minimum Variance Portfolio Weights", xlab="Assset", ylab="Weight In

Portfolio (%)", col=cm.colors(ncol(frontierWeights)+2), legend=colnames(weights))

pie(mvpweights, col=cm.colors(ncol(frontierWeights)+2))

#ggplot MVP Weights

df <- data.frame(mvpweights)

assets <- colnames(frontierWeights)

ggplot(data=df, aes(x=assets, y=mvpweights, fill=assets)) +

geom_bar(stat="identity", position=position_dodge(),colour="black") +

geom_text(aes(label=sprintf("%.02f %%",mvpweights*100)),

position=position_dodge(width=0.9), vjust=-0.25, check_overlap = TRUE) +

ggtitle("Minimum Variance Portfolio Optimal Weights")+ theme(plot.title =

element_text(hjust = 0.5)) +

labs(x= "Assets", y = "Weight (%)")

dft <- data.frame(tangencyweights)

assets <- colnames(frontierWeights)

ggplot(data=dft, aes(x=assets, y=tangencyweights, fill=assets)) +

geom_bar(stat="identity", position=position_dodge(),colour="black") +

geom_text(aes(label=sprintf("%.02f %%",tangencyweights*100)),

position=position_dodge(width=0.9), vjust=-0.25, check_overlap = TRUE) +

ggtitle("Tangency Portfolio Weights")+ theme(plot.title = element_text(hjust = 0.5)) +

labs(x= "Assets", y = "Weight (%)")

#ggplot Pie

bar <- ggplot(df, aes(x = "", y = mvpweights, fill=assets)) + geom_bar(width= 1, stat="identity") +

ggtitle("Minimum Variance Portfolio Weights")+ theme(plot.title = element_text(hjust = 0.5))

pie <- bar + coord_polar("y", start=0)

pie + scale_fill_brewer(palette="Blues")+
 theme_minimal()

bar <- ggplot(dft, aes(x = "", y = tangencyweights, fill=assets)) + geom_bar(width= 1, stat="identity")

+ ggtitle("Tangency Portfolio Weights")+ theme(plot.title = element_text(hjust = 0.5))

pie <- bar + coord_polar("y", start=0)

pie + scale_fill_brewer(palette="Blues")+

theme_minimal()