okama.EfficientFrontier.plot_cml

EfficientFrontier.plot_cml(rf_return=0, y_axe='cagr', figsize=None)

Plot Capital Market Line (CML).

The Capital Market Line (CML) is the tangent line drawn from the point of the risk-free asset (volatility is zero) to the point of tangency portfolio or Maximum Sharpe Ratio (MSR) point.

The slope of the CML is the Sharpe ratio of the tangency portfolio.

Parameters:

rf_returnfloat, default 0

Risk-free rate of return.

y_axe{‘cagr’, ‘mean_return’}, default ‘cagr’

Show the relation between Risk and CAGR (if ‘cagr’) or between Risk and Mean rate of return (if ‘mean_return’). CAGR or Mean Rate of Return are displayed on the y-axis.

figsize(float, float), optional

Figure size: width, height in inches. If None default matplotlib size is taken: [6.4, 4.8]

Returns:

Axes‘matplotlib.axes._subplots.AxesSubplot’

Examples

>>> import matplotlib.pyplot as plt
>>> three_assets = ['MCFTR.INDX', 'RGBITR.INDX', 'GC.COMM']
>>> ef = ok.EfficientFrontier(assets=three_assets, ccy='USD', full_frontier=True)
>>> ef.plot_cml(rf_return=0.05, y_axe="cagr")  # Risk-Free return is 5%
>>> plt.show