[Returnanalytics-commits] r2625 - in pkg/PortfolioAnalytics: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jul 23 01:51:40 CEST 2013
Author: rossbennett34
Date: 2013-07-23 01:51:40 +0200 (Tue, 23 Jul 2013)
New Revision: 2625
Added:
pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd
pkg/PortfolioAnalytics/man/randomize_portfolio_v1.Rd
Modified:
pkg/PortfolioAnalytics/NAMESPACE
pkg/PortfolioAnalytics/R/random_portfolios.R
pkg/PortfolioAnalytics/man/random_portfolios.Rd
pkg/PortfolioAnalytics/man/randomize_portfolio.Rd
Log:
alias _v2 of random portfolios functions and add _v1 to old random portfolios functions
Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE 2013-07-22 23:44:43 UTC (rev 2624)
+++ pkg/PortfolioAnalytics/NAMESPACE 2013-07-22 23:51:40 UTC (rev 2625)
@@ -51,11 +51,11 @@
export(print.optimize.portfolio.pso)
export(print.optimize.portfolio.random)
export(print.optimize.portfolio.ROI)
+export(random_portfolios_v1)
export(random_portfolios_v2)
-export(random_portfolios)
export(random_walk_portfolios)
+export(randomize_portfolio_v1)
export(randomize_portfolio_v2)
-export(randomize_portfolio)
export(return_objective)
export(risk_budget_objective)
export(rp_transform)
Modified: pkg/PortfolioAnalytics/R/random_portfolios.R
===================================================================
--- pkg/PortfolioAnalytics/R/random_portfolios.R 2013-07-22 23:44:43 UTC (rev 2624)
+++ pkg/PortfolioAnalytics/R/random_portfolios.R 2013-07-22 23:51:40 UTC (rev 2625)
@@ -53,7 +53,7 @@
#' @return named weighting vector
#' @author Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
#' @export
-randomize_portfolio <- function (rpconstraints, max_permutations=200, rounding=3)
+randomize_portfolio_v1 <- function (rpconstraints, max_permutations=200, rounding=3)
{ # @author: Peter Carl, Brian Peterson (based on an idea by Pat Burns)
# generate random permutations of a portfolio seed meeting your constraints on the weights of each asset
@@ -173,7 +173,7 @@
#' rpconstraint<-constraint(assets=10, min_mult=-Inf, max_mult=Inf, min_sum=.99, max_sum=1.01, min=.01, max=.4, weight_seq=generatesequence())
#' rp<- random_portfolios(rpconstraints=rpconstraint,permutations=1000)
#' head(rp)
-random_portfolios <- function (rpconstraints,permutations=100,...)
+random_portfolios_v1 <- function (rpconstraints,permutations=100,...)
{ #
# this function generates a series of portfolios that are a "random walk" from the current portfolio
seed=rpconstraints$assets
@@ -203,9 +203,10 @@
#' @param rounding integer how many decimals should we round to
#' @return named weighting vector
#' @author Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
+#' @aliases randomize_portfolio
+#' @rdname randomize_portfolio
#' @export
randomize_portfolio_v2 <- function (portfolio, max_permutations=200) {
- # @author: Peter Carl, Brian Peterson (based on an idea by Pat Burns)
# generate random permutations of a portfolio seed meeting your constraints on the weights of each asset
# set the portfolio to the seed
seed <- portfolio$assets
@@ -324,6 +325,8 @@
#' @return matrix of random portfolio weights
#' @seealso \code{\link{portfolio.spec}}, \code{\link{objective}}, \code{\link{randomize_portfolio_v2}}
#' @author Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
+#' @aliases random_portfolios
+#' @rdname random_portfolios
#' @export
random_portfolios_v2 <- function( portfolio, permutations=100, ...)
{ #
@@ -348,6 +351,12 @@
return(result)
}
+# Alias randomize_portfolio_v2 to randomize_portfolio
+randomize_portfolio <- randomize_portfolio_v2
+
+# Alias random_portfolios_v2 to random_portfolios
+random_portfolios <- random_portfolios_v2
+
# EXAMPLE: start_t<- Sys.time(); x=random_walk_portfolios(rep(1/5,5), generatesequence(min=0.01, max=0.30, by=0.01), max_permutations=500, permutations=5000, min_sum=.99, max_sum=1.01); end_t<-Sys.time(); end_t-start_t;
# > nrow(unique(x))
# [1] 4906
Modified: pkg/PortfolioAnalytics/man/random_portfolios.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/random_portfolios.Rd 2013-07-22 23:44:43 UTC (rev 2624)
+++ pkg/PortfolioAnalytics/man/random_portfolios.Rd 2013-07-22 23:51:40 UTC (rev 2625)
@@ -1,12 +1,13 @@
-\name{random_portfolios}
+\name{random_portfolios_v2}
\alias{random_portfolios}
-\title{generate an arbitary number of constrained random portfolios}
+\alias{random_portfolios_v2}
+\title{version 2 generate an arbitary number of constrained random portfolios}
\usage{
- random_portfolios(rpconstraints, permutations = 100, ...)
+ random_portfolios_v2(portfolio, permutations = 100, ...)
}
\arguments{
- \item{rpconstraints}{an object of type "constraints"
- specifying the constraints for the optimization, see
+ \item{portfolio}{an object of type "portfolio" specifying
+ the constraints for the optimization, see
\code{\link{constraint}}}
\item{permutations}{integer: number of unique constrained
@@ -22,17 +23,12 @@
generate an arbitrary number of constrained random
portfolios.
}
-\examples{
-rpconstraint<-constraint(assets=10, min_mult=-Inf, max_mult=Inf, min_sum=.99, max_sum=1.01, min=.01, max=.4, weight_seq=generatesequence())
-rp<- random_portfolios(rpconstraints=rpconstraint,permutations=1000)
-head(rp)
-}
\author{
Peter Carl, Brian G. Peterson, (based on an idea by Pat
Burns)
}
\seealso{
- \code{\link{constraint}}, \code{\link{objective}},
- \code{\link{randomize_portfolio}}
+ \code{\link{portfolio.spec}}, \code{\link{objective}},
+ \code{\link{randomize_portfolio_v2}}
}
Added: pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd 2013-07-22 23:51:40 UTC (rev 2625)
@@ -0,0 +1,39 @@
+\name{random_portfolios_v1}
+\alias{random_portfolios_v1}
+\title{generate an arbitary number of constrained random portfolios}
+\usage{
+ random_portfolios_v1(rpconstraints, permutations = 100,
+ ...)
+}
+\arguments{
+ \item{rpconstraints}{an object of type "constraints"
+ specifying the constraints for the optimization, see
+ \code{\link{constraint}}}
+
+ \item{permutations}{integer: number of unique constrained
+ random portfolios to generate}
+
+ \item{\dots}{any other passthru parameters}
+}
+\value{
+ matrix of random portfolio weights
+}
+\description{
+ repeatedly calls \code{\link{randomize_portfolio}} to
+ generate an arbitrary number of constrained random
+ portfolios.
+}
+\examples{
+rpconstraint<-constraint(assets=10, min_mult=-Inf, max_mult=Inf, min_sum=.99, max_sum=1.01, min=.01, max=.4, weight_seq=generatesequence())
+rp<- random_portfolios(rpconstraints=rpconstraint,permutations=1000)
+head(rp)
+}
+\author{
+ Peter Carl, Brian G. Peterson, (based on an idea by Pat
+ Burns)
+}
+\seealso{
+ \code{\link{constraint}}, \code{\link{objective}},
+ \code{\link{randomize_portfolio}}
+}
+
Modified: pkg/PortfolioAnalytics/man/randomize_portfolio.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/randomize_portfolio.Rd 2013-07-22 23:44:43 UTC (rev 2624)
+++ pkg/PortfolioAnalytics/man/randomize_portfolio.Rd 2013-07-22 23:51:40 UTC (rev 2625)
@@ -1,14 +1,14 @@
-\name{randomize_portfolio}
+\name{randomize_portfolio_v2}
\alias{randomize_portfolio}
-\title{generate random permutations of a portfolio seed meeting your constraints on the weights of each asset}
+\alias{randomize_portfolio_v2}
+\title{version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset}
\usage{
- randomize_portfolio(rpconstraints,
- max_permutations = 200, rounding = 3)
+ randomize_portfolio_v2(portfolio, max_permutations = 200)
}
\arguments{
- \item{rpconstraints}{an object of type "constraints"
- specifying the constraints for the optimization, see
- \code{\link{constraint}}}
+ \item{portfolio}{an object of type "portfolio" specifying
+ the constraints for the optimization, see
+ \code{\link{portfolio.spec}}}
\item{max_permutations}{integer: maximum number of
iterations to try for a valid portfolio, default 200}
@@ -20,8 +20,9 @@
named weighting vector
}
\description{
- generate random permutations of a portfolio seed meeting
- your constraints on the weights of each asset
+ version 2 generate random permutations of a portfolio
+ seed meeting your constraints on the weights of each
+ asset
}
\author{
Peter Carl, Brian G. Peterson, (based on an idea by Pat
Added: pkg/PortfolioAnalytics/man/randomize_portfolio_v1.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/randomize_portfolio_v1.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/randomize_portfolio_v1.Rd 2013-07-22 23:51:40 UTC (rev 2625)
@@ -0,0 +1,30 @@
+\name{randomize_portfolio_v1}
+\alias{randomize_portfolio_v1}
+\title{generate random permutations of a portfolio seed meeting your constraints on the weights of each asset}
+\usage{
+ randomize_portfolio_v1(rpconstraints,
+ max_permutations = 200, rounding = 3)
+}
+\arguments{
+ \item{rpconstraints}{an object of type "constraints"
+ specifying the constraints for the optimization, see
+ \code{\link{constraint}}}
+
+ \item{max_permutations}{integer: maximum number of
+ iterations to try for a valid portfolio, default 200}
+
+ \item{rounding}{integer how many decimals should we round
+ to}
+}
+\value{
+ named weighting vector
+}
+\description{
+ generate random permutations of a portfolio seed meeting
+ your constraints on the weights of each asset
+}
+\author{
+ Peter Carl, Brian G. Peterson, (based on an idea by Pat
+ Burns)
+}
+
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