[Returnanalytics-commits] r2598 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-07-19 04:23:32 +0200 (Fri, 19 Jul 2013)
New Revision: 2598

Modified:
   pkg/PortfolioAnalytics/R/constraint_fn_map.R
Log:
modified for individual checks NULL for max_pos_long or max_pos_short

Modified: pkg/PortfolioAnalytics/R/constraint_fn_map.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraint_fn_map.R	2013-07-19 01:58:31 UTC (rev 2597)
+++ pkg/PortfolioAnalytics/R/constraint_fn_map.R	2013-07-19 02:23:32 UTC (rev 2598)
@@ -408,13 +408,16 @@
     tmp_w[not_index] <- 0
     
     # set some tmp_min values equal to zero so the while loops do not see a
-    # violation of any(tmp_w < tmp_min)
-    tmp_min[not_index] <- 0
+    # violation of any(tmp_w < tmp_min). This tends to force weights to 0 and
+    # works well for long only, but we may want to allow negative weights.
+    # tmp_min[not_index] <- 0
+    # Only set values of tmp_min that are greater than 0 to 0
+    tmp_min[not_index[which(tmp_min[not_index] > 0)]] <- 0
     
     # Transform weights to satisfy max_pos_long and max_pos_short before being
     # passed into the main loops
     # Both max_pos_long and max_pos_short should be specified
-    if(!is.null(max_pos_long) & !is.null(max_pos_short)){
+    if(!is.null(max_pos_long)){
       pos_idx <- which(tmp_w > 0)
       neg_idx <- which(tmp_w < 0)
       
@@ -433,6 +436,8 @@
           }
         }
       }
+    }
+    if(!is.null(max_pos_short)){
       # Check if number of negative weights exceeds max_pos_short
       if(length(neg_idx) > max_pos_short){
         # Randomly sample negative weights that cause violation of max_pos_short