[Returnanalytics-commits] r2733 - in pkg/PortfolioAnalytics: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Aug 6 23:47:01 CEST 2013
Author: rossbennett34
Date: 2013-08-06 23:47:01 +0200 (Tue, 06 Aug 2013)
New Revision: 2733
Added:
pkg/PortfolioAnalytics/man/chart.Scatter.pso.Rd
pkg/PortfolioAnalytics/man/chart.Weights.pso.Rd
pkg/PortfolioAnalytics/man/charts.pso.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd
Modified:
pkg/PortfolioAnalytics/DESCRIPTION
pkg/PortfolioAnalytics/NAMESPACE
pkg/PortfolioAnalytics/R/extractstats.R
Log:
adding chart methods for pso optimization methods
Modified: pkg/PortfolioAnalytics/DESCRIPTION
===================================================================
--- pkg/PortfolioAnalytics/DESCRIPTION 2013-08-06 19:15:24 UTC (rev 2732)
+++ pkg/PortfolioAnalytics/DESCRIPTION 2013-08-06 21:47:01 UTC (rev 2733)
@@ -48,3 +48,4 @@
'optFUN.R'
'charts.ROI.R'
'applyFUN.R'
+ 'charts.PSO.R'
Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE 2013-08-06 19:15:24 UTC (rev 2732)
+++ pkg/PortfolioAnalytics/NAMESPACE 2013-08-06 21:47:01 UTC (rev 2733)
@@ -6,12 +6,15 @@
export(box_constraint)
export(CCCgarch.MM)
export(chart.Scatter.DE)
+export(chart.Scatter.pso)
export(chart.Scatter.ROI)
export(chart.Scatter.RP)
export(chart.Weights.DE)
+export(chart.Weights.pso)
export(chart.Weights.ROI)
export(chart.Weights.RP)
export(charts.DE)
+export(charts.pso)
export(charts.ROI)
export(charts.RP)
export(constrained_group_tmp)
@@ -53,6 +56,7 @@
export(optimize.portfolio.rebalancing)
export(optimize.portfolio)
export(plot.optimize.portfolio.DEoptim)
+export(plot.optimize.portfolio.pso)
export(plot.optimize.portfolio.random)
export(plot.optimize.portfolio.ROI)
export(plot.optimize.portfolio)
Modified: pkg/PortfolioAnalytics/R/extractstats.R
===================================================================
--- pkg/PortfolioAnalytics/R/extractstats.R 2013-08-06 19:15:24 UTC (rev 2732)
+++ pkg/PortfolioAnalytics/R/extractstats.R 2013-08-06 21:47:01 UTC (rev 2733)
@@ -294,7 +294,7 @@
result <- cbind(tmpout, psoweights)
colnames(result) <- c("out", paste('w',names(object$weights),sep='.'))
- rownames(result) <- paste(prefix, "pso.portf", index(tmp), sep=".")
+ rownames(result) <- paste(prefix, "pso.portf", index(tmpout), sep=".")
return(result)
}
Added: pkg/PortfolioAnalytics/man/chart.Scatter.pso.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.Scatter.pso.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/chart.Scatter.pso.Rd 2013-08-06 21:47:01 UTC (rev 2733)
@@ -0,0 +1,43 @@
+\name{chart.Scatter.pso}
+\alias{chart.Scatter.pso}
+\title{classic risk return scatter of random portfolios}
+\usage{
+ chart.Scatter.pso(pso, R, return.col = "mean",
+ risk.col = "StdDev", ..., element.color = "darkgray",
+ cex.axis = 0.8, main = "")
+}
+\arguments{
+ \item{pso}{object created by
+ \code{\link{optimize.portfolio}}}
+
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns, used to recalulate the
+ risk and return metric}
+
+ \item{return.col}{string matching the objective of a
+ 'return' objective, on vertical axis}
+
+ \item{risk.col}{string matching the objective of a 'risk'
+ objective, on horizontal axis}
+
+ \item{...}{any other passthru parameters}
+
+ \item{cex.axis}{The magnification to be used for axis
+ annotation relative to the current setting of \code{cex}}
+
+ \item{element.color}{color for the default plot scatter
+ points}
+}
+\description{
+ \code{return.col} must be the name of a function used to
+ compute the return metric on the portfolio weights
+ \code{risk.col} must be the name of a function used to
+ compute the risk metric on the portfolio weights
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{optimize.portfolio}}
+}
+
Added: pkg/PortfolioAnalytics/man/chart.Weights.pso.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.Weights.pso.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/chart.Weights.pso.Rd 2013-08-06 21:47:01 UTC (rev 2733)
@@ -0,0 +1,47 @@
+\name{chart.Weights.pso}
+\alias{chart.Weights.pso}
+\title{boxplot of the weights in the portfolio}
+\usage{
+ chart.Weights.pso(pso, neighbors = NULL, ...,
+ main = "Weights", las = 3, xlab = NULL, cex.lab = 1,
+ element.color = "darkgray", cex.axis = 0.8)
+}
+\arguments{
+ \item{pso}{object created by
+ \code{\link{optimize.portfolio}}}
+
+ \item{neighbors}{set of 'neighbor' portfolios to
+ overplot}
+
+ \item{las}{numeric in \{0,1,2,3\}; the style of axis
+ labels \describe{ \item{0:}{always parallel to the axis
+ [\emph{default}],} \item{1:}{always horizontal,}
+ \item{2:}{always perpendicular to the axis,}
+ \item{3:}{always vertical.} }}
+
+ \item{xlab}{a title for the x axis: see
+ \code{\link{title}}}
+
+ \item{cex.lab}{The magnification to be used for x and y
+ labels relative to the current setting of \code{cex}}
+
+ \item{cex.axis}{The magnification to be used for axis
+ annotation relative to the current setting of \code{cex}}
+
+ \item{element.color}{color for the default plot lines}
+
+ \item{...}{any other passthru parameters}
+
+ \item{main}{an overall title for the plot: see
+ \code{\link{title}}}
+}
+\description{
+ boxplot of the weights in the portfolio
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{optimize.portfolio}}
+}
+
Added: pkg/PortfolioAnalytics/man/charts.pso.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/charts.pso.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/charts.pso.Rd 2013-08-06 21:47:01 UTC (rev 2733)
@@ -0,0 +1,50 @@
+\name{charts.pso}
+\alias{charts.pso}
+\title{scatter and weights chart for portfolios}
+\usage{
+ charts.pso(pso, R, return.col = "mean",
+ risk.col = "StdDev", cex.axis = 0.8,
+ element.color = "darkgray", neighbors = NULL,
+ main = "PSO.Portfolios", ...)
+}
+\arguments{
+ \item{pso}{object created by
+ \code{\link{optimize.portfolio}}}
+
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns, used to recalulate the
+ risk and return metric}
+
+ \item{return.col}{string matching the objective of a
+ 'return' objective, on vertical axis}
+
+ \item{risk.col}{string matching the objective of a 'risk'
+ objective, on horizontal axis}
+
+ \item{...}{any other passthru parameters}
+
+ \item{cex.axis}{The magnification to be used for axis
+ annotation relative to the current setting of \code{cex}}
+
+ \item{element.color}{color for the default plot scatter
+ points}
+
+ \item{neighbors}{set of 'neighbor' portfolios to
+ overplot}
+
+ \item{main}{an overall title for the plot: see
+ \code{\link{title}}}
+}
+\description{
+ \code{return.col} must be the name of a function used to
+ compute the return metric on the random portfolio weights
+ \code{risk.col} must be the name of a function used to
+ compute the risk metric on the random portfolio weights
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{optimize.portfolio}}
+}
+
Added: pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd 2013-08-06 21:47:01 UTC (rev 2733)
@@ -0,0 +1,50 @@
+\name{plot.optimize.portfolio.pso}
+\alias{plot.optimize.portfolio.pso}
+\title{scatter and weights chart for portfolios}
+\usage{
+ plot.optimize.portfolio.pso(pso, R, return.col = "mean",
+ risk.col = "StdDev", cex.axis = 0.8,
+ element.color = "darkgray", neighbors = NULL,
+ main = "PSO.Portfolios", ...)
+}
+\arguments{
+ \item{pso}{object created by
+ \code{\link{optimize.portfolio}}}
+
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns, used to recalulate the
+ risk and return metric}
+
+ \item{return.col}{string matching the objective of a
+ 'return' objective, on vertical axis}
+
+ \item{risk.col}{string matching the objective of a 'risk'
+ objective, on horizontal axis}
+
+ \item{...}{any other passthru parameters}
+
+ \item{cex.axis}{The magnification to be used for axis
+ annotation relative to the current setting of \code{cex}}
+
+ \item{element.color}{color for the default plot scatter
+ points}
+
+ \item{neighbors}{set of 'neighbor' portfolios to
+ overplot}
+
+ \item{main}{an overall title for the plot: see
+ \code{\link{title}}}
+}
+\description{
+ \code{return.col} must be the name of a function used to
+ compute the return metric on the random portfolio weights
+ \code{risk.col} must be the name of a function used to
+ compute the risk metric on the random portfolio weights
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{optimize.portfolio}}
+}
+
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