[Returnanalytics-commits] r2191 - pkg/PerformanceAnalytics/sandbox/Meucci/R

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

Author: mkshah
Date: 2012-07-23 01:58:54 +0200 (Mon, 23 Jul 2012)
New Revision: 2191

Modified:
   pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R
   pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R
Log:
Updating comments

Modified: pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R	2012-07-22 23:50:32 UTC (rev 2190)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R	2012-07-22 23:58:54 UTC (rev 2191)
@@ -8,7 +8,7 @@
 #' See Sec. 4.6.1 of "Risk and Asset Allocation" - Springer (2005), by A. Meucci
 #' for the theory and the routine implemented below
 #'
-#' @param   sample   
+#' @param   sample      a vector containing the input dataset with outliers
 #'
 #' @return  rejected    a numeric indicating which observation in the index to reject
 #'

Modified: pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R	2012-07-22 23:50:32 UTC (rev 2190)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/R/RobustBayesianAllocation.R	2012-07-22 23:58:54 UTC (rev 2191)
@@ -90,10 +90,11 @@
 #'
 #' @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 confidenceInPrior  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
+#' @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
 #' @param riskAversionMu     risk aversion coefficient for estimation of means. 
 #' @param riskAversionSigma  risk aversion coefficient for estimation of Sigma.
 #' @param discretizations    an integer with the number of portfolios to generate along efficient frontier (equally distanced in return space). Parameter must be an integer greater or equal to 1.
+#' @param longonly           a boolean for suggesting whether an asset in a portfolio can be shorted or not
 #' @param volatility         a numeric with the volatility used to calculate gamma-m. gamma-m acts as a constraint on the maximum volatility of the robust portfolio. A higher volatility means a higher volatile robust portfolio may be identified.
 #'
 #' @return a list of portfolios along the frontier from least risky to most risky