> I believe there might be an error with the function sharperatioLines() of
> fPortfolio package. When using sharperatioLines() to plot the curve of the
> Sharpe Ratio it also plots a light blue circle, which should be its maximum
> point. That point should also be the point where the Capital Market Line
> tangencies the Efficient Frontier, which can be plot using tangencyPoints().
> However, the two points are not matching. Does someone have an idea of what
> is happening? Here is an example:
>
> library(fPortfolio)
>
> #simulates two assets' returns
> set.seed(1000)
> ab2 <- assetsSim(1500, method="sn",
> model=list(beta=c(0.000555,0.000724),
>
> Omega=matrix(c(2.772225e-06,-0.9*0.001665*0.002172,
>
> -0.9*0.001665*0.002172,4.717584e-06),2,2),
> alpha=c(0,0), nu=0))
>
> #transform to time series
> ab2 <- as.timeSeries(ab2)
>
> #calculates portfolio frontier
> port_ab2 <- portfolioFrontier(ab2)
>
> #plots the frontier
> frontierPlot(port_ab2)#, xlim=c(0.0005,0.0025), ylim=c(0.0005,0.0008))
>
> #adds the sharpe ratio line
> sharpeRatioLines(port_ab2, col="orange")
>
> #adds the capital market line
> tangencyLines(port_ab2, col="green")
>
> #adds the optimum portfolio
> tangencyPoints(port_ab2, col="green", pch=19)
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