[Returnanalytics-commits] r2750 - in pkg/PerformanceAnalytics/sandbox/Shubhankit: Week1/Code Week1/Vignette Week5/Code Week6-7/Code Week6-7/Code/Equivalent Matlab Code

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Fri Aug 9 15:09:18 CEST 2013


Author: shubhanm
Date: 2013-08-09 15:09:18 +0200 (Fri, 09 Aug 2013)
New Revision: 2750

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week6-7/Code/Equivalent Matlab Code/
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week6-7/Code/Equivalent Matlab Code/NWmissings.m
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week6-7/Code/Equivalent Matlab Code/regstats2.m
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week6-7/Code/Equivalent Matlab Code/sim_NWmissings.m
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week6-7/Code/Tests/
Modified:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/GLMSmoothIndex.R
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/LoSharpeRatio.R
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite-Graph1.pdf
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite-Graph10.pdf
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.log
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.pdf
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R
Log:
Tests for week 6-7 codes , roxygen code readability 

Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/GLMSmoothIndex.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/GLMSmoothIndex.R	2013-08-09 11:32:24 UTC (rev 2749)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/GLMSmoothIndex.R	2013-08-09 13:09:18 UTC (rev 2750)
@@ -1,16 +1,18 @@
 #'@title Getmansky Lo Markov Smoothing Index Parameter
 #'@description
-#A useful summary statistic for measuring the concentration of weights is
-# a sum of square of Moving Average lag coefficient.
-# This measure is well known in the industrial organization literature as the 
-# Herfindahl index, a measure of the concentration of firms in a given industry. 
-# The index is maximized when one coefficient is 1 and the rest are 0, in which case x ¼ 1: In the context of
-#smoothed returns, a lower value of x implies more smoothing, and the upper bound
-#of 1 implies no smoothing,  hence x is reffered as a ''smoothingindex' '.
+#'A useful summary statistic for measuring the concentration of weights is
+#' a sum of square of Moving Average lag coefficient.
+#' This measure is well known in the industrial organization literature as the 
+#' Herfindahl index, a measure of the concentration of firms in a given industry. 
+#' The index is maximized when one coefficient is 1 and the rest are 0, in which case x ¼ 1: In the context of
+#'smoothed returns, a lower value of x implies more smoothing, and the upper bound
+#'of 1 implies no smoothing,  hence x is reffered as a ''smoothingindex' '.
 #' 
+#' \deqn{ R_t  =    {\mu} + {\beta}{{\delta}}_t+ \xi_t}
 #' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
 #' asset returns
 #' @author R
+#' @aliases Return.Geltner
 #' @references "An econometric model of serial correlation and illiquidity in 
 #' hedge fund returns" Mila Getmansky1, Andrew W. Lo*, Igor Makarov
 #' 
@@ -18,7 +20,7 @@
 #' @examples
 #' 
 #' data(edhec)
-#' head(GLMSmoothIndex(edhec)
+#' head(GLMSmoothIndex(edhec))
 #' 
 #' @export
 GLMSmoothIndex<-

Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/LoSharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/LoSharpeRatio.R	2013-08-09 11:32:24 UTC (rev 2749)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Code/LoSharpeRatio.R	2013-08-09 13:09:18 UTC (rev 2750)
@@ -1,3 +1,30 @@
+#' Lo Sharpe Ratio
+#'
+#' The building blocks of the Sharpe ratio-expected returns and volatilities-
+#'  are unknown quantities that must be estimated statistically and are,
+#' therefore, subject to estimation error.In an illustrative
+#' empirical example of mutual funds and hedge funds, Andrew Lo finds that the annual Sharpe ratio for a hedge fund can be overstated by as much as 65 percent
+#' because of the presence of serial correlation in monthly returns, and once
+#' this serial correlation is properly taken into account, the rankings of hedge
+#' funds based on Sharpe ratios can change dramatically.
+#'
+#' 
+#' 
+#' @aliases LoSharpeRatio
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param \dots any other passthru parameters
+#' @author Peter Carl
+#' @references  \emph{The statistics of Sharpe Ratio 
+#' }, Andrew Lo
+#' 
+#' @keywords ts multivariate distribution models
+#' @examples
+#' library(PerformanceAnalytics)
+#' data(edhec)
+#' LoSharpe(edhec)
+#' @export 
+
 LoSharpeRatio<-
   function(R = NULL,Rf=0.,q = 0., ...)
   {
@@ -67,4 +94,17 @@
     return(results)
   }
   }  
-}
\ No newline at end of file
+}
+
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: LoSharpeRatio.R 2271 2012-09-02 01:56:23Z braverock $
+#
+###############################################################################

Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite-Graph1.pdf
===================================================================
(Binary files differ)

Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite-Graph10.pdf
===================================================================
(Binary files differ)

Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.log
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.log	2013-08-09 11:32:24 UTC (rev 2749)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.log	2013-08-09 13:09:18 UTC (rev 2750)
@@ -1,4 +1,4 @@
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+This is pdfTeX, Version 3.1415926-2.4-1.40.13 (MiKTeX 2.9) (preloaded format=pdflatex 2013.7.14)  3 AUG 2013 06:57
 entering extended mode
 **OkunevWhite.tex
 
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-Output written on OkunevWhite.pdf (5 pages, 174408 bytes).
+Output written on OkunevWhite.pdf (5 pages, 174471 bytes).
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Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.pdf
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.pdf	2013-08-09 11:32:24 UTC (rev 2749)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week1/Vignette/OkunevWhite.pdf	2013-08-09 13:09:18 UTC (rev 2750)
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[TRUNCATED]

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