[Returnanalytics-commits] r2940 - in pkg/PerformanceAnalytics/sandbox/pulkit: R man

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

Author: pulkit
Date: 2013-08-30 10:39:38 +0200 (Fri, 30 Aug 2013)
New Revision: 2940

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
   pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
Log:
latex changes

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R	2013-08-30 08:01:57 UTC (rev 2939)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R	2013-08-30 08:39:38 UTC (rev 2940)
@@ -4,7 +4,7 @@
 #'@description
 #'The  Economic Drawdown Controlled Optimal Portfolio Strategy(EDD-COPS) has 
 #'the portfolio fraction allocated to single risky asset as:
-#'
+#' \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-EDD(t)}{1-EDD(t)}\biggr]\right\}}
 #' 
 #' The risk free asset accounts for the rest of the portfolio allocation \eqn{x_f = 1 - x_t}.
 #'dt<-read.zoo("../data/ret.csv",sep=",",header = TRUE)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R	2013-08-30 08:01:57 UTC (rev 2939)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R	2013-08-30 08:39:38 UTC (rev 2940)
@@ -5,11 +5,17 @@
 #'The Rolling Economic Drawdown Controlled Optimal Portfolio Strategy(REDD-COPS) has 
 #'the portfolio fraction allocated to single risky asset as:
 #'
-#' 
+#' \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
+#
 #' The risk free asset accounts for the rest of the portfolio allocation \eqn{x_f = 1 - x_t}.
 #' 
 #' For two risky assets in REDD-COPS,dynamic asset allocation weights are :
-#' 
+#'\deqn{\left[\begin{array}{c} x_1 \\ x_2 \end{array}\right] = \frac{1}{1-{\rho}^2}
+#'   \left[\begin{array}{c} (\lambda_1 + {1/2}\sigma_1 - \rho.(\lambda_2 + {1/2}\sigma_2
+#'   )/\sigma_1) \\ (\lambda_1 + {1/2}\sigma_1 - \rho(\lambda_2 + {1/2}\sigma_2)/\sigma_
+#'   1) \end{array}\right]}
+
+ 
 #'  
 #'The portion of the risk free asset is \eqn{x_f = 1 - x_1 - x_2}.
 #'dt<-read.zoo("../data/ret.csv",sep=",",header = TRUE)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd	2013-08-30 08:01:57 UTC (rev 2939)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd	2013-08-30 08:39:38 UTC (rev 2940)
@@ -25,7 +25,9 @@
 \description{
   The Economic Drawdown Controlled Optimal Portfolio
   Strategy(EDD-COPS) has the portfolio fraction allocated
-  to single risky asset as:
+  to single risky asset as: \deqn{x_t =
+  Max\left\{0,\biggl(\frac{\lambda/\sigma +
+  1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-EDD(t)}{1-EDD(t)}\biggr]\right\}}
 
   The risk free asset accounts for the rest of the
   portfolio allocation \eqn{x_f = 1 - x_t}.

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd	2013-08-30 08:01:57 UTC (rev 2939)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd	2013-08-30 08:39:38 UTC (rev 2940)
@@ -35,11 +35,18 @@
   Portfolio Strategy(REDD-COPS) has the portfolio fraction
   allocated to single risky asset as:
 
+  \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma +
+  1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
   The risk free asset accounts for the rest of the
   portfolio allocation \eqn{x_f = 1 - x_t}.
 
   For two risky assets in REDD-COPS,dynamic asset
-  allocation weights are :
+  allocation weights are : \deqn{\left[\begin{array}{c} x_1
+  \\ x_2 \end{array}\right] = \frac{1}{1-{\rho}^2}
+  \left[\begin{array}{c} (\lambda_1 + {1/2}\sigma_1 -
+  \rho.(\lambda_2 + {1/2}\sigma_2 )/\sigma_1) \\ (\lambda_1
+  + {1/2}\sigma_1 - \rho(\lambda_2 + {1/2}\sigma_2)/\sigma_
+  1) \end{array}\right]}
 
   The portion of the risk free asset is \eqn{x_f = 1 - x_1
   - x_2}. dt<-read.zoo("../data/ret.csv",sep=",",header =