[Returnanalytics-commits] r2218 - in pkg/MPO: . man

[noreply at r-forge.r-project.org]

Author: jamesleehobbs
Date: 2012-07-29 22:44:06 +0200 (Sun, 29 Jul 2012)
New Revision: 2218

Added:
   pkg/MPO/man/ProportionalCostOpt.Rd
Modified:
   pkg/MPO/DESCRIPTION
   pkg/MPO/NAMESPACE
   pkg/MPO/man/TransactionCostOpt.Rd
Log:
-added proportional cost quadratic optimization

Modified: pkg/MPO/DESCRIPTION
===================================================================
--- pkg/MPO/DESCRIPTION	2012-07-27 23:41:27 UTC (rev 2217)
+++ pkg/MPO/DESCRIPTION	2012-07-29 20:44:06 UTC (rev 2218)
@@ -27,3 +27,4 @@
     'ClassicMV.R'
     'TransactionCostOpt.R'
     'TurnoverOpt.R'
+    'ProportionalCostOpt.R'

Modified: pkg/MPO/NAMESPACE
===================================================================
--- pkg/MPO/NAMESPACE	2012-07-27 23:41:27 UTC (rev 2217)
+++ pkg/MPO/NAMESPACE	2012-07-29 20:44:06 UTC (rev 2218)
@@ -1,3 +1,4 @@
+export(ProportionalCostOpt)
 export(TransactionCostOpt)
 export(TransCostFrontier)
 export(TurnoverFrontier)

Added: pkg/MPO/man/ProportionalCostOpt.Rd
===================================================================
--- pkg/MPO/man/ProportionalCostOpt.Rd	                        (rev 0)
+++ pkg/MPO/man/ProportionalCostOpt.Rd	2012-07-29 20:44:06 UTC (rev 2218)
@@ -0,0 +1,45 @@
+\name{ProportionalCostOpt}
+\alias{ProportionalCostOpt}
+\title{Proportional cost portfolio optimization}
+\usage{
+  ProportionalCostOpt(returns, mu.target, w.initial, tc,
+    long.only = FALSE)
+}
+\arguments{
+  \item{returns}{an xts, vector, matrix, data frame,
+  timeSeries or zoo object of asset returns}
+
+  \item{mu.target}{target portfolio return}
+
+  \item{w.initial}{initial vector of portfolio weights.
+  Length of the vector must be equal to ncol(returns)}
+
+  \item{tc}{proportional transaction cost}
+
+  \item{long.only}{optional long only constraint.  Defaults
+  to FALSE}
+}
+\value{
+  returns a list with initial weights, buys, sells, and the
+  aggregate of all three.  Also returns the portfolio's
+  expected return and variance
+}
+\description{
+  Calculate portfolio weights, variance, and mean return,
+  given a set of returns and a value for proportional
+  transaction costs
+}
+\author{
+  James Hobbs
+}
+\seealso{
+  \code{\link{TurnoverFrontier}}
+
+  \code{\link{solve.QP}}
+
+  data(Returns) opt <-
+  ProportionalCostOpt(large.cap.returns,mu.target=0.004,
+  w.initial = rep(1/100,100),tc=.01) opt$w.total
+  opt$port.var opt$port.mu
+}
+

Modified: pkg/MPO/man/TransactionCostOpt.Rd
===================================================================
--- pkg/MPO/man/TransactionCostOpt.Rd	2012-07-27 23:41:27 UTC (rev 2217)
+++ pkg/MPO/man/TransactionCostOpt.Rd	2012-07-29 20:44:06 UTC (rev 2218)
@@ -3,7 +3,7 @@
 \title{Quadratic Portfolio Optimization with transaction costs}
 \usage{
   TransactionCostOpt(returns, lambda, w.initial, c,
-    long.only = FALSE)
+    long.only = FALSE, niterations = 1, max.iter = 10)
 }
 \arguments{
   \item{returns}{an xts, vector, matrix, data frame,