[Returnanalytics-commits] r2566 - pkg/PerformanceAnalytics/sandbox/pulkit/week1/code

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

Author: pulkit
Date: 2013-07-13 21:54:10 +0200 (Sat, 13 Jul 2013)
New Revision: 2566

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R
Log:
Included the reference SR in the optimization

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R	2013-07-13 18:08:15 UTC (rev 2565)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R	2013-07-13 19:54:10 UTC (rev 2566)
@@ -101,12 +101,15 @@
         SR = get_SR(stats,n)
         meanSR = SR$meanSR
         sigmaSR = SR$sigmaSR
+        if(refSR>meanSR){
+            stop("The Reference Sharpe Ratio should be less than the Observred Sharpe Ratio")
+        }
         for(i in 1:columns){
 
             d1Z[i] = get_d1Z(stats,m,meanSR,sigmaSR,mean,weights,i)
         }
 
-        dZ = list("d1Z"=d1Z,"z"=meanSR/sigmaSR)
+        dZ = list("d1Z"=d1Z,"z"=(meanSR-refSR)/sigmaSR)
 
         return(dZ)
     }
@@ -120,7 +123,7 @@
         d1sigmaSR = (d1Kurt * meanSR^2+2*meanSR*d1meanSR*(stats[4]-1))/4
         d1sigmaSR = d1sigmaSR-(d1Skew*meanSR+d1meanSR*stats[3])  
         d1sigmaSR = d1sigmaSR/(2*sigmaSR*(n-1))
-        d1Z = (d1meanSR*sigmaSR-d1sigmaSR*meanSR)/sigmaSR^2
+        d1Z = (d1meanSR*sigmaSR-d1sigmaSR*(meanSR-refSR))/sigmaSR^2
         return(d1Z)
     }
 
@@ -191,7 +194,6 @@
         return(sum/n)
     }
     weights = optimize()
-    print(k)
     result = matrix(weights,nrow = columns)
     rownames(result) = columnnames
     colnames(result) = "weight"