[Returnanalytics-commits] r2613 - pkg/PerformanceAnalytics/sandbox/pulkit/week5

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

Author: pulkit
Date: 2013-07-21 22:23:26 +0200 (Sun, 21 Jul 2013)
New Revision: 2613

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R
Log:
REDD-COPS in progress

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R	2013-07-21 20:23:26 UTC (rev 2613)
@@ -0,0 +1,91 @@
+#'@title
+#'Rolling Economic Drawdown Controlled Optimal Portfolio Strategy
+#'
+#'@description
+#'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].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 portion of the risk free asset is \eqn{x_f = 1 - x_1 - x_2}.
+#'
+#'@param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#'@param delta Drawdown limit
+#'@param sharpe If you want to use a constant Sharpe Ratio please specify here
+#'else the return series will be used
+#'@param Rf risk free rate can be vector such as government security rate of return.
+#'@param h Look back period
+#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
+#'@param ... any other variable
+#'
+#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to 
+#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
+#'
+#'
+#'@examples
+#'REDDCOPS(edhec,delta = 0.1,Rf = 0,h = 40)
+#'
+#'@export
+#'
+
+REDDCOPS<-function(R ,delta,Rf,h,geometric = TRUE,sharpe=NULL,...){
+  # DESCRIPTION
+  # Calculates the dynamic weights for single and double risky asset portfolios
+  # using Rolling Economic Drawdown
+
+  # INPUT:
+  # The Return series ,drawdown limit, risk free rate and the lookback period are 
+  # given as the input
+  
+  # FUNCTION:
+  x = checkData(R)
+  columns = ncol(x)
+  n = nrow(x)
+  columnnames = colnames(x)
+  rf = checkData(Rf)
+  nr = length(Rf)
+
+  if(is.null(sharpe)){
+    sharpe = SharpeRatio(R,FUN="StdDev",Rf ,p=0.95)
+  }
+  dynamicPort<-function(x){
+    sd = StdDev(R)
+    factor = (as.vector(sharpe)/as.vector(sd)+0.5)/(1-delta^2)
+    redd = rollDrawdown(R,Rf,h,geometric)
+    redd = na.omit(redd)
+    xt = max(0,(delta-redd)/(1-redd))
+    return(xt)
+  }
+  for(column in 1:columns){
+    column.xt <- na.skip(x[,column],FUN = dynamicPort)
+    if(column == 1)
+      xt = column.xt
+    else xt = merge(xt, column.xt) 
+  }
+  colnames(xt) = columnnames
+  xt = reclass(xt, x)
+  return(xt)
+  
+}
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: REDDCOPS.R $
+#
+##############################################################################

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R	2013-07-21 16:44:54 UTC (rev 2612)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R	2013-07-21 20:23:26 UTC (rev 2613)
@@ -14,11 +14,10 @@
 #' 
 #'
 #'@param R an xts, vector, matrix, data frame, timeseries, or zoo object of asset return.
-#'@param weights portfolio weighting vector, default NULL
+#'@param Rf risk free rate can be vector such as government security rate of return
+#'@param h lookback period 
 #'@param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining(FALSE)
 #'to aggregate returns, default is TRUE
-#'@param rf risk free rate can be vector such as government security rate of return
-#'@param h lookback period 
 #'@param \dots any other  variable
 #'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to 
 #'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)