[Returnanalytics-commits] r2784 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2013-08-14 19:22:28 +0200 (Wed, 14 Aug 2013)
New Revision: 2784

Modified:
   pkg/PortfolioAnalytics/sandbox/testing_factor_exposure.R
Log:
adding DEoptim and random optimization methods to factor exposure testing

Modified: pkg/PortfolioAnalytics/sandbox/testing_factor_exposure.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_factor_exposure.R	2013-08-14 16:24:03 UTC (rev 2783)
+++ pkg/PortfolioAnalytics/sandbox/testing_factor_exposure.R	2013-08-14 17:22:28 UTC (rev 2784)
@@ -3,6 +3,7 @@
 require(ROI.plugin.quadprog)
 require(ROI.plugin.glpk)
 library(Rglpk)
+library(DEoptim)
 
 data(edhec)
 ret <- edhec[, 1:4]
@@ -87,3 +88,43 @@
 optf
 
 all.equal(opte$weights, optf$weights)
+
+##### maximize return objective with DEoptim #####
+set.seed(123)
+optde1 <- optimize.portfolio(R=ret, portfolio=pspec, 
+                           constraints=list(lev_constr, lo_constr, grp_constr), 
+                           objectives=list(ret_obj), 
+                           optimize_method="DEoptim", 
+                           search_size=2000, 
+                           trace=TRUE)
+optde1
+
+set.seed(123)
+optde2 <- optimize.portfolio(R=ret, portfolio=pspec, 
+                           constraints=list(lev_constr, lo_constr, exp_constr), 
+                           objectives=list(ret_obj), 
+                           optimize_method="DEoptim", 
+                           search_size=2000, 
+                           trace=TRUE)
+optde2
+
+all.equal(optde1$weights, optde2$weights)
+
+##### maximize return objective with random #####
+optrp1 <- optimize.portfolio(R=ret, portfolio=pspec, 
+                           constraints=list(lev_constr, lo_constr, grp_constr), 
+                           objectives=list(ret_obj), 
+                           optimize_method="random", 
+                           search_size=2000, 
+                           trace=TRUE)
+optrp1
+
+optrp2 <- optimize.portfolio(R=ret, portfolio=pspec, 
+                           constraints=list(lev_constr, lo_constr, exp_constr), 
+                           objectives=list(ret_obj), 
+                           optimize_method="random", 
+                           search_size=2000, 
+                           trace=TRUE)
+optrp2
+
+all.equal(optrp1$weights, optrp2$weights)
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