[Returnanalytics-commits] r2255 - in pkg/PerformanceAnalytics/sandbox/Meucci: R man

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

Author: mkshah
Date: 2012-08-20 07:51:13 +0200 (Mon, 20 Aug 2012)
New Revision: 2255

Modified:
   pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R
   pkg/PerformanceAnalytics/sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd
Log:
Updating documentation for successful PDF Manual creation

Modified: pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R	2012-08-20 00:33:51 UTC (rev 2254)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R	2012-08-20 05:51:13 UTC (rev 2255)
@@ -84,10 +84,6 @@
 #' where each portfolio is equally distanced in return space. The function also returns the most robust
 #' portfolio along the Bayesian efficient frontier
 #'
-#' \deqn{ w_{rB}^{(i)} = argmax_{w \in C, w' \Sigma_{1} w \leq  \gamma_{\Sigma}^{(i)} }  \big\{w' \mu^{1} -  \gamma _{\mu}  \sqrt{w' \Sigma_{1} w} \big\} 
-#' \\ \gamma_{\mu} \equiv  \sqrt{ \frac{q_{\mu}^{2}}{T_{1}}  \frac{v_{1}}{v_{1} - 2} }
-#' \\ \gamma_{\Sigma}^{(i)} \equiv  \frac{v^{(i)}{ \frac{ \nu_{1}}{\nu_{1}+N+1}  \sqrt{ \frac{2\nu_{1}^{2}q_{\Sigma}^{2}}{ (\nu_{1}+N+1)^{3} } } }  } }
-#'
 #' @param mean_post          the posterior vector of means (after blending prior and sample data)
 #' @param cov_post           the posterior covariance matrix (after blending prior and sample data)
 #' @param nu_post            a numeric with the relative confidence in the prior vs. the sample data. A value of 2 indicates twice as much weight to assign to the prior vs. the sample data. Must be greater than or equal to zero
@@ -99,14 +95,17 @@
 #'
 #' @return a list of portfolios along the frontier from least risky to most risky
 #'   bayesianFrontier        a list with portfolio along the Bayesian efficient frontier. Specifically:
-#'                               returns: the expected returns of each portfolo along the Bayesian efficient frontier
-#'                               volatility: the expected volatility of each portfolo along the Bayesian efficient frontier
-#'                               weights: the weights of each portfolo along the Bayesian efficient frontier
+#'                               returns: the expected returns of each portfolio along the Bayesian efficient frontier
+#'                               volatility: the expected volatility of each portfolio along the Bayesian efficient frontier
+#'                               weights: the weights of each portfolio along the Bayesian efficient frontier
 #'   robustPortfolio         the most robust portfolio along the Bayesian efficient frontier. Specifically:
-#'                               returns: the expected returns of each portfolo along the Bayesian efficient frontier
-#'                               volatility: the expected volatility of each portfolo along the Bayesian efficient frontier
-#'                               weights: the weights of each portfolo along the Bayesian efficient frontier
+#'                               returns: the expected returns of each portfolio along the Bayesian efficient frontier
+#'                               volatility: the expected volatility of each portfolio along the Bayesian efficient frontier
+#'                               weights: the weights of each portfolio along the Bayesian efficient frontier
 #'
+#' \deqn{ w_{rB}^{(i)} = argmax_{w \in C, w' \Sigma_{1} w \leq  \gamma_{\Sigma}^{(i)} }  \big\{w' \mu^{1} -  \gamma _{\mu}  \sqrt{w' \Sigma_{1} w} \big\},
+#' \gamma_{\mu} \equiv  \sqrt{ \frac{q_{\mu}^{2}}{T_{1}}  \frac{v_{1}}{v_{1} - 2} }
+#' \gamma_{\Sigma}^{(i)} \equiv  \frac{v^{(i)}}{ \frac{ \nu_{1}}{\nu_{1}+N+1} + \sqrt{ \frac{2\nu_{1}^{2}q_{\Sigma}^{2}}{ (\nu_{1}+N+1)^{3} } } } }
 #' @references
 #' A. Meucci - Robust Bayesian Allocation - See formula (19) - (21) 
 #' \url{ http://papers.ssrn.com/sol3/papers.cfm?abstract_id=681553 }

Modified: pkg/PerformanceAnalytics/sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd	2012-08-20 00:33:51 UTC (rev 2254)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd	2012-08-20 05:51:13 UTC (rev 2255)
@@ -42,18 +42,27 @@
   a list of portfolios along the frontier from least risky
   to most risky bayesianFrontier a list with portfolio
   along the Bayesian efficient frontier. Specifically:
-  returns: the expected returns of each portfolo along the
+  returns: the expected returns of each portfolio along the
   Bayesian efficient frontier volatility: the expected
-  volatility of each portfolo along the Bayesian efficient
-  frontier weights: the weights of each portfolo along the
+  volatility of each portfolio along the Bayesian efficient
+  frontier weights: the weights of each portfolio along the
   Bayesian efficient frontier robustPortfolio the most
   robust portfolio along the Bayesian efficient frontier.
   Specifically: returns: the expected returns of each
-  portfolo along the Bayesian efficient frontier
-  volatility: the expected volatility of each portfolo
+  portfolio along the Bayesian efficient frontier
+  volatility: the expected volatility of each portfolio
   along the Bayesian efficient frontier weights: the
-  weights of each portfolo along the Bayesian efficient
+  weights of each portfolio along the Bayesian efficient
   frontier
+
+  \deqn{ w_{rB}^{(i)} = argmax_{w \in C, w' \Sigma_{1} w
+  \leq \gamma_{\Sigma}^{(i)} } \big\{w' \mu^{1} - \gamma
+  _{\mu} \sqrt{w' \Sigma_{1} w} \big\}, \gamma_{\mu} \equiv
+  \sqrt{ \frac{q_{\mu}^{2}}{T_{1}} \frac{v_{1}}{v_{1} - 2}
+  } \gamma_{\Sigma}^{(i)} \equiv \frac{v^{(i)}}{ \frac{
+  \nu_{1}}{\nu_{1}+N+1} + \sqrt{
+  \frac{2\nu_{1}^{2}q_{\Sigma}^{2}}{ (\nu_{1}+N+1)^{3} } }
+  } }
 }
 \description{
   Construct a collection of portfolios along the Bayesian
@@ -62,16 +71,6 @@
   returns the most robust portfolio along the Bayesian
   efficient frontier
 }
-\details{
-  \deqn{ w_{rB}^{(i)} = argmax_{w \in C, w' \Sigma_{1} w
-  \leq \gamma_{\Sigma}^{(i)} } \big\{w' \mu^{1} - \gamma
-  _{\mu} \sqrt{w' \Sigma_{1} w} \big\} \\ \gamma_{\mu}
-  \equiv \sqrt{ \frac{q_{\mu}^{2}}{T_{1}}
-  \frac{v_{1}}{v_{1} - 2} } \\ \gamma_{\Sigma}^{(i)} \equiv
-  \frac{v^{(i)}{ \frac{ \nu_{1}}{\nu_{1}+N+1} \sqrt{
-  \frac{2\nu_{1}^{2}q_{\Sigma}^{2}}{ (\nu_{1}+N+1)^{3} } }
-  } } }
-}
 \author{
   Ram Ahluwalia \email{ram at wingedfootcapital.com}
 }