[Returnanalytics-commits] r2898 - in pkg/PortfolioAnalytics: R sandbox

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

Author: rossbennett34
Date: 2013-08-26 21:17:35 +0200 (Mon, 26 Aug 2013)
New Revision: 2898

Added:
   pkg/PortfolioAnalytics/sandbox/testing_group_multlevels.R
Modified:
   pkg/PortfolioAnalytics/R/optFUN.R
Log:
Modifying maxret_opt to add a stop() if no solution is found. Adding test script for group constraints with multiple levels.

Modified: pkg/PortfolioAnalytics/R/optFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/optFUN.R	2013-08-26 18:49:30 UTC (rev 2897)
+++ pkg/PortfolioAnalytics/R/optFUN.R	2013-08-26 19:17:35 UTC (rev 2898)
@@ -123,6 +123,7 @@
   #non-zero value otherwise.
   if(roi.result$status$code != 0) {
     message(roi.result$status$msg$message)
+    stop("No solution")
     return(NULL)
   }
   

Added: pkg/PortfolioAnalytics/sandbox/testing_group_multlevels.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_group_multlevels.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_group_multlevels.R	2013-08-26 19:17:35 UTC (rev 2898)
@@ -0,0 +1,41 @@
+
+library(PortfolioAnalytics)
+library(ROI)
+library(ROI.plugin.quadprog)
+library(ROI.plugin.quadprog)
+
+
+data(edhec)
+R <- edhec[, 1:4]
+colnames(R) <- c("CA", "CTAG", "DS", "EM")
+funds <- colnames(R)
+
+# set up portfolio with objectives and constraints
+pspec <- portfolio.spec(assets=funds)
+pspec <- add.constraint(portfolio=pspec, type="full_investment")
+pspec <- add.constraint(portfolio=pspec, type="long_only")
+pspec <- add.constraint(portfolio=pspec, type="group",
+                        groups=list(groupA=c(1, 3),
+                                    groupB=c(2, 4),
+                                    geoA=c(1, 2, 4),
+                                    geoB=3),
+                        group_min=c(0.15, 0.25, 0.15, 0.2),
+                        group_max=c(0.4, 0.7, 0.8, 0.62))
+pspec
+
+maxret <- add.objective(portfolio=pspec, type="return", name="mean")
+opt_maxret <- optimize.portfolio(R=R, portfolio=maxret, optimize_method="ROI")
+summary(opt_maxret)
+
+minvar <- add.objective(portfolio=pspec, type="risk", name="var")
+opt_minvar <- optimize.portfolio(R=R, portfolio=minvar, optimize_method="ROI")
+summary(opt_minvar)
+
+minetl <- add.objective(portfolio=pspec, type="risk", name="ETL")
+opt_minetl <- optimize.portfolio(R=R, portfolio=minetl, optimize_method="ROI")
+summary(opt_minetl)
+
+maxqu <- add.objective(portfolio=pspec, type="return", name="mean")
+maxqu <- add.objective(portfolio=maxqu, type="risk", name="var", risk_aversion=0.25)
+opt_maxqu <- optimize.portfolio(R=R, portfolio=maxqu, optimize_method="ROI")
+summary(opt_maxqu)