[Returnanalytics-commits] r2753 - in pkg/PerformanceAnalytics/sandbox/Shubhankit: Week2/Code Week3/Code Week4/Code Week5/Code
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Aug 10 03:11:44 CEST 2013
Author: shubhanm
Date: 2013-08-10 03:11:43 +0200 (Sat, 10 Aug 2013)
New Revision: 2753
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/CalmarRatio.Normalized.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/Return.GLM.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/EmaxDDGBM.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week4/Code/AcarSim.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R
Log:
Rexoygen readability of codes(week 1, 2, 3, ,4 ,5 )
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/CalmarRatio.Normalized.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/CalmarRatio.Normalized.R 2013-08-09 20:06:35 UTC (rev 2752)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/CalmarRatio.Normalized.R 2013-08-10 01:11:43 UTC (rev 2753)
@@ -132,6 +132,6 @@
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
-# $Id: CalmarRatio.R 1955 2012-05-23 16:38:16Z braverock $
+# $Id: CalmarRatioNormalized.R 1955 2012-05-23 16:38:16Z braverock $
#
###############################################################################
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/Return.GLM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/Return.GLM.R 2013-08-09 20:06:35 UTC (rev 2752)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/Code/Return.GLM.R 2013-08-10 01:11:43 UTC (rev 2753)
@@ -1,3 +1,6 @@
+#' Getmansky Lo Markov Unsmooth Return Model
+#'
+#'
#' True returns represent the flow of information that would determine the equilibrium
#' value of the fund's securities in a frictionless market. However, true economic
#' returns are not observed. Instead, Rot
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/EmaxDDGBM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/EmaxDDGBM.R 2013-08-09 20:06:35 UTC (rev 2752)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/EmaxDDGBM.R 2013-08-10 01:11:43 UTC (rev 2753)
@@ -9,7 +9,7 @@
#' @author R
#' @keywords Expected Drawdown Using Brownian Motion Assumptions
-#'
+#' @rdname EmaxDDGBM
#' @export
table.EMaxDDGBM <-
function (R,digits =4)
@@ -182,13 +182,14 @@
}
###############################################################################
-# R (http://r-project.org/)
+################################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
-# Copyright (c) 2004-2013
+# 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: EMaxDDGBM
+# $Id: EmaxDDGBM.R 2271 2012-09-02 01:56:23Z braverock $
#
###############################################################################
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R 2013-08-09 20:06:35 UTC (rev 2752)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week3/Code/chart.Autocorrelation.R 2013-08-10 01:11:43 UTC (rev 2753)
@@ -18,7 +18,7 @@
#' data(edhec[,1])
#' chart.Autocorrelation(edhec[,1])
#'
-#'
+#' @rdname chart.Autocorrelation
#' @export
chart.Autocorrelation <-
function (R, ...)
@@ -44,4 +44,15 @@
-}
\ 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: Chart.Autocorrelation.R 2271 2012-09-02 01:56:23Z braverock $
+#
+###############################################################################
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week4/Code/AcarSim.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week4/Code/AcarSim.R 2013-08-09 20:06:35 UTC (rev 2752)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week4/Code/AcarSim.R 2013-08-10 01:11:43 UTC (rev 2753)
@@ -1,8 +1,19 @@
-#To get some insight on the relationships between maximum drawdown per unit of volatility
-#and mean return divided by volatility, we have proceeded to Monte-Carlo simulations.
-# We have simulated cash flows over a period of 36 monthly returns and measured maximum
-#drawdown for varied levels of annualised return divided by volatility varying from minus
-# two to two by step of 0.1. The process has been repeated six thousand times.
+#' Acar and Shane Maximum Loss
+#'
+#'To get some insight on the relationships between maximum drawdown per unit of volatility
+#'and mean return divided by volatility, we have proceeded to Monte-Carlo simulations.
+#' We have simulated cash flows over a period of 36 monthly returns and measured maximum
+#'drawdown for varied levels of annualised return divided by volatility varying from minus
+#' two to two by step of 0.1. The process has been repeated six thousand times.
+#' @author R Project
+#' @references DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION,\emph{International Journal of Theoretical and Applied Finance}
+#' ,Fall 1994, 49-58.Vol. 8, No. 1 (2005) 13-58
+#' @keywords Conditional Drawdown models
+#' @examples
+#' library(PerformanceAnalytics)
+#' AcarSim()
+#' @rdname Cdrawdown
+#' @export
AcarSim <-
function()
{
@@ -58,4 +69,16 @@
title("Maximum Drawdown/Volatility as a function of Return/Volatility
36 monthly returns simulated 6,000 time")
-}
\ 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: AcarSim.R 2163 2012-07-16 00:30:19Z braverock $
+#
+###############################################################################
\ No newline at end of file
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R 2013-08-09 20:06:35 UTC (rev 2752)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week5/Code/CDrawdown.R 2013-08-10 01:11:43 UTC (rev 2753)
@@ -1,30 +1,29 @@
-#' Conditional Drawdown
+#' Chekhlov Conditional Drawdown at Risk
#'
#' A new one-parameter family of risk measures called Conditional Drawdown (CDD) has
#'been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance
-#' parameter ??, in the case of a single sample path, drawdown functional is de???ned as
+#' parameter, in the case of a single sample path, drawdown functional is de???ned as
#'the mean of the worst 100% drawdowns. The CDD measure generalizes the
#'notion of the drawdown functional to a multi-scenario case and can be considered as a
#'generalization of deviation measure to a dynamic case. The CDD measure includes the
#'Maximal Drawdown and Average Drawdown as its limiting cases.
#'
+#' The model is focused on concept of drawdown measure which is in possession of all properties of a deviation measure,generalization of deviation measures to a dynamic case.Concept of risk profiling - Mixed Conditional Drawdown (generalization of CDD).Optimization techniques for CDD computation - reduction to linear programming (LP) problem. Portfolio optimization with constraint on Mixed CDD
+#' The model develops concept of drawdown measure by generalizing the notion
+#' of the CDD to the case of several sample paths for portfolio uncompounded rate
+#' of return.
#' @param Ra return vector of the portfolio
-#' @param Rb return vector of the benchmark asset
-#' @param scale number of periods in a year (daily scale = 252, monthly scale =
-#' 12, quarterly scale = 4)
-#' @author Peter Carl
+#' @param p confidence interval
+#' @author R Project
#' @references DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION,\emph{International Journal of Theoretical and Applied Finance}
#' ,Fall 1994, 49-58.Vol. 8, No. 1 (2005) 13-58
#' @keywords Conditional Drawdown models
#' @examples
#'
-#' data(managers)
-#' ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
-#' ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
-#' ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
-#' ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])
-#' @rdname ActivePremium
-#' @aliases ActivePremium, ActiveReturn
+#' library(PerformanceAnalytics)
+#' data(edhec)
+#' CDrawdown(edhec)
+#' @rdname Cdrawdown
#' @export
CDrawdown <-
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