[Returnanalytics-commits] r2026 - pkg/PerformanceAnalytics/sandbox/Meucci
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Jun 17 10:27:09 CEST 2012
Author: mkshah
Date: 2012-06-17 10:27:08 +0200 (Sun, 17 Jun 2012)
New Revision: 2026
Modified:
pkg/PerformanceAnalytics/sandbox/Meucci/Meucci_functions.csv
Log:
Added the new S&P example added for Robust Bayesian Allocation to the list of scripts
Modified: pkg/PerformanceAnalytics/sandbox/Meucci/Meucci_functions.csv
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/Meucci_functions.csv 2012-06-17 08:23:09 UTC (rev 2025)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/Meucci_functions.csv 2012-06-17 08:27:08 UTC (rev 2026)
@@ -1,60 +1,61 @@
-"R-script","Function Name","Paper","Original Matlab Script","Description","Is this an Auxiliary function or a Primary function that should be exported?","Roxygen ready?","Parameter tests?","Unit Testing","Examples","Other Gaps"
-"EntropyProg.R","EntropyProg",,"EntropyProg.R","This is the core entropy pooling engine required many of the Meucci scripts. Other scripts require this function loaded in memory to work propertly. The entropy pooling program blends views on scenarios with a prior scenario-probability distribution. The script is heavily commented so the reader can see how the concepts in the paper connect to the procedures. I performed a good deal of testing on alternative optimization routines using the NLOPTR library for the constrained and unconstrained optimization. The methods I selected were fastest in most trials however it's possible other routines are superior.","Primary","Yes","Yes","No","Yes",
-"MeucciRobustBayesianAllocation.R","efficientFrontier","Robust Bayesian Allocation","EfficientFrontier.m","Constructs the mean-variance efficient frontier using a quadratic solver","Primary","Yes","No","No","Yes",
-"MeucciRobustBayesianAllocation.R","robustBayesianPortfolioOptimization","Robust Bayesian Allocation","n/a","A generic function to construct a Bayesian mean-variance efficient frontier and identifies the most robust portfolio","Primary","Yes","No","No","Yes",
-"MeucciRobustBayesianAllocation.R","PartialConfidencePosterior","Robust Bayesian Allocation","n/a","Constructs the partial confidence posterior based on a prior, sample mu/covariance, and relative confidence in the prior","Auxiliary","Yes","Yes","No","Yes",
-"MeucciRobustBayesianAllocation.R","example script","Robust Bayesian Allocation","S_SimulationsCaseStudy.m","example application of Robust Bayesian","Example","No","No","No","Yes",
-"logToArithmeticCovariance.R","linreturn","Meucci - A Common Pitfall in Mean-Variance Estimation","n/a","Generate arithmetric returns and arithmetric covariance matrix given a distribution of log returns","Primary","Yes","No","No","Yes","Example is standalone (i.e. is not run during R CMD CHECK)"
-"Meucci_DetectOutliersviaMVE.R","RejectOutlier","Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci","RejectOutlier.m","Finds the ""worst"" outlier in a multivariate time series","Auxiliary but can be used as a primary function in other contexts","Yes","Yes","No","Yes","Example is standalone (i.e. is not run during R CMD CHECK)"
-"Meucci_DetectOutliersviaMVE.R","ComputeMVE","Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci","ComputeMVE.m","Compute the minimum volume ellipsoid for a given (multi-variate) time-series","Auxiliary","Yes","No","No","Yes","Example is standalone (i.e. is not run during R CMD CHECK)"
-"Meucci_DetectOutliersviaMVE.R","DetectOutliersViaMVE","Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci",,"Use the minimum volume ellipsoid to detect outliers","Primary","Yes","Yes","No","Yes","Return numOutliers see comment around ""Todo:"""
-"Meucci_DetectOutliersviaMVE.R","NoisyObservations","Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci",,"Generate observations from a two asset covariance matrix and add outliers","Primary","Yes","No","No","Yes","Example is standalone (i.e. is not run during R CMD CHECK)"
-"Prior2Posterior.R","PlotDistributions","A. Meucci - Fully Flexible Views: Theory and Practice","PlotDistributions.m","Plots distributions of prior and posterior using numerical and analytical approach. Sometimes Meucci will call this function ""pHist.r"" in other code examples.","Primary","No","No","No","No","Need to convert this to GG Plot"
-"Prior2Posterior.R","Prior2Posterior","A. Meucci - Fully Flexible Views: Theory and Practice","Prior2Posterior.m","Useful function that blends a prior and posterior distribution","Primary",,,,,
-"Prior2Posterior.R","Example script","A. Meucci - Fully Flexible Views: Theory and Practice","S_Main.m","Example compares analytical vs. numerical approach to entropy pooling","Example Script","n/a","n/a","n/a","n/a",
-"MeucciButterflyTrading.R","PlotFrontier","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","PlotFrontier.m","A common function that plots the efficient frontier used throughout Meucci's various scripts. I'd like to develop a generic ggplot function that works across all of the Meucci scripts","Auxiliary but can be used as a primary function in other contexts","No","No","No","No","Need to convert this to GG Plot"
-"MeucciButterflyTrading.R","ViewCurveSlope","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","ViewCurveSlope.m","This is part of an example in Butterfly trading. This function creates a view on slope of the yield curve.","Auxiliary","No","No","No","No",
-"MeucciButterflyTrading.R","ViewRealizedVol","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","ViewRealizedVol.m","This is part of an example in Butterfly trading. This function creates a view on realized vol","Auxiliary","No","No","No","No",
-"MeucciButterflyTrading.R","ViewImpliedVol","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","ViewImpliedVol.m","This is part of an example in Butterfly trading. This function creates a view on implied vol","Auxiliary","No","No","No","No",
-"MeucciButterflyTrading.R","ComputeCVaR","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","ComputeCVaR.m","This function computes the Conditional Value-At-Risk","Auxiliary","No","No","No","No","Consider generalizing this into a function that abstracts from the example"
-"MeucciButterflyTrading.R","LongShortMeanCVaRFrontier","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","LongShortMeanCVaRFrontier.m","An example that constructs the long short mean CVaR frontier ","Auxiliary","No","No","No","No","Consider generalizing this into a function that abstracts from the example"
-"MeucciButterflyTrading.R","MapVol","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","MapVol.m","Used in example","Auxiliary","No","No","No","No",
-"MeucciButterflyTrading.R","HorizonPricing","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","HorizonPricing.m","Used to price the Butterflies in example","Auxiliary","No","No","No","No",
-"MeucciButterflyTrading.R","Example scipt","A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example","S_Main","Workflow example","Auxiliary","No","No","No","No","Fix directory pointers. Note: Requires MeucciButterflyPnL.rda"
-"MeucciCmaCopula.R","MvnRnd","http://www.symmys.com/node/162","MvnRnd.m","A common function that ensures sampled moments match population moments. This function is used in several of Meucci scripts. I am using a workaround and this is not implemented correctly as it requires a matrix package that returns the Unitary matrix from a Schur decomposition to complete properly.","Auxiliary but can be used as a primary function in other contexts","Yes",,,,"Use Schur decomposition to solve Riccati equation and implement this properly. Need a function in R that returns the unitary matrix from a Schur decomposition. Right now function is only sampling from mvrnorm so sample moments do no match population moments. The overall CMA Copula script will work fine using the current implementation and number of draws can be increased so sample moments converge to population moments."
-"MeucciCmaCopula.R","CMAseparation","Meucci - Marginal Copula Algorithm","CMAseparation.m","Decomposes arbitrary joint distributions (scenario-probabilities) into their copula and marginals","Primary","Yes","Yes","No","Yes",
-"MeucciCmaCopula.R","CMA combination","Meucci - Marginal Copula Algorithm","CMAcombination.m","Glues an arbitrary copula and arbitrary marginal distributions into a new joint distribution","Primary","Yes","Yes","No","Yes",
-"MeucciCmaCopula.R","PanicCopula","Meucci - Marginal Copula Algorithm","S_PanicCopula.m","Example script that demonstrates use of panic copula","Example Script","Yes","Yes","No","Yes","Add wireframe or surface plots to view Copula.. Note: This script requires EntropyProg.R"
-"HermiteGrid.R","pHist","Fully Flexible Extreme Views","pHist.m","A common function to generate probability weighted histogram. This helper function is used throughout Meucci scripts. I need to work on a generic ggplot implementation of this.","Auxiliary but can be used as a primary function in other contexts","No","No","No","Yes",
-"HermiteGrid.R","normalizeProb","Fully Flexible Extreme Views","nomralizeProb.m","auxiliary function","Auxiliary",,,,,
-"HermiteGrid.R","subIntervals","Fully Flexible Extreme Views","subIntervals.m","auxiliary function","Auxiliary",,,,,
-"HermiteGrid.R","integrateSubIntervals","Fully Flexible Extreme Views","integrateSubIntervals.m","auxiliary function","Auxiliary",,,,,
-"HermiteGrid.R","Prior2Posterior","Fully Flexible Extreme Views","Prior2Posterior.m","A useful function for blending a prior with posterior ","Auxiliary but can be used as a primary function in other contexts",,,,,
-"HermiteGrid.R","hermitePolynomial","Fully Flexible Extreme Views","hermitePolynomial.m","auxiliary function","Auxiliary",,,,,
-"HermiteGrid.R","Example Script","Fully Flexible Extreme Views",,"Not complete -- I stopped working on this when I realized Meucci has better methods to deal with fat tails","Example Script",,,,,
-"MeucciFullFlexibleBayesNets.R","CondProbViews","Fully Flexible Bayesian Networks - 2010","CondProbView.m","Generates views","Auxiliary but can be used as a primary function in other contexts",,,,,
-"MeucciFullFlexibleBayesNets.R","Tweak","Fully Flexible Bayesian Networks - 2010","Tweak.m","Function that tests for consistency of views. Arguably this should be added to the Entropy Program although it is not in Meucci's implementation. WORK IN PROGRESS","Auxiliary but can be used as a primary function in other contexts",,,,,
-"MeucciFullFlexibleBayesNets.R","ComputeMoments","Fully Flexible Bayesian Networks - 2010","ComputeMoments.m","Takes a matrix of joint-scenario probability distributions and generates expectations, standard devation, and correlation matrix for the assets","Auxiliary",,,,,
-"MeucciFullFlexibleBayesNets.R","Example Script","Fully Flexible Bayesian Networks - 2010","S_CaseStudy.m","This case study uses Entropy Pooling to compute Fully Flexible Bayesian networks for risk management","Example Script",,,,,
-"MeucciInvariantProjection.R","Raw2Central","Meucci - ""Risk and Asset Allocation""","Raw2Central.m","auxiliary function - Transforms raw moments into central moments","Auxiliary","Yes","No","No","Yes - in example script",
-"MeucciInvariantProjection.R","Cumul2Raw","Meucci - ""Risk and Asset Allocation""","Cumul2Raw.m","auxiliary function - Transforms cumulants of Y-t into raw moments","Auxiliary","Yes","No","No","Yes - in example script",
-"MeucciInvariantProjection.R","Raw2Cumul","Meucci - ""Risk and Asset Allocation""","Raw2Cumul.m","auxiliary function - Transforms raw moments into cumulants","Auxiliary","Yes","No","No","Yes - in example script",
-"MeucciInvariantProjection.R","Central2Raw","Meucci - ""Risk and Asset Allocation""","Central2Raw.m","auxiliary function - Transforms central moments into raw moments (first central moment defined as expectation)","Auxiliary","Yes","No","No","Yes - in example script",
-"MeucciInvariantProjection.R","SummStats","Meucci - ""Risk and Asset Allocation""","SummStats.m","Compute summary stats","Primary","Yes","No","No","Yes - in example script",
-"MeucciInvariantProjection.R","ProjectInvariant","Meucci - ""Risk and Asset Allocation""","S_ProjSummStats.m","Example script","Example","Yes","No","No","Yes",
-"MeucciInvariantProjection.R","GenerateLogNormalDistribution","Meucci - ""Risk and Asset Allocation""",,"Generates arbitrary distribution of a shifted-lognormal invariant","Primary","Yes","No","No","Yes - in ProjectInvariant documentation",
-,,,,,,,,,,
-"MeucciRankingInformation.R","StackedBarChart","Entropy Pooling / Ranking Information","n/a","Plots efficient frontier weights","Primary","No","No","No","Yes - examples at bottom of script but not formalized",
-"MeucciRankingInformation.R","ViewRankingTest","Entropy Pooling / Ranking Information","ViewRanking.m","A generic function to create views with ranking information. I was creating this function so it could be used for general purposes rather than the specific purposes of Meucci's paper. Some consideration needs to be given to how multiple types of view constraints interact (i.e. a ranking view, a view on expectations, a view on correlation). The idea views can be stacked in the equality and inequality matrices and then the entropy program can be called to generate the posterior probabilities. This was my general plan of attack as the extant Meucci functions do not offer this capabilitiy (instead they focus one one-off views). This set of generic functions is a work in progress.","Primary","No","No","No","No",
-"MeucciRankingInformation.R","ViewRanking","Entropy Pooling / Ranking Information","ViewRanking.m","A function that updates the posterior probabilities given view information","Auxiliary","No","No","No","Yes",
-"MeucciRankingInformation.R","EfficientFrontier","Entropy Pooling / Ranking Information","EfficientFrontier.m","Generate efficient frontier ","Primary","No","No","No","Yes",
-"MeucciRankingInformation.R","Example","Entropy Pooling / Ranking Information","S_Main","Example code","Example","No","No","Yes","Yes - examples at bottom of script but not formalized",
-,,,,,,,,,,
-,,,,,,,,,,
-,,,,,,,,,,
-,,,,,,,,,,
-,,,,,,,,,,
-,,,,,,,,,,
-,,,,,,,,,,
-"Auxiliary functions need not be exported. Primary functions are the workflow functions that call auxiliary functions. Some auxiliary functions such as pHist,MvnRnd, etc. are used in multiple areas.",,,,,,,,,,
-"Examples are usually beneath the function, or at bottom of the script",,,,,,,,,,
+R-script,Function Name,Paper,Original Matlab Script,Description,Is this an Auxiliary function or a Primary function that should be exported?,Roxygen ready?,Parameter tests?,Unit Testing,Examples,Other Gaps
+EntropyProg.R,EntropyProg,,EntropyProg.R,This is the core entropy pooling engine required many of the Meucci scripts. Other scripts require this function loaded in memory to work propertly. The entropy pooling program blends views on scenarios with a prior scenario-probability distribution. The script is heavily commented so the reader can see how the concepts in the paper connect to the procedures. I performed a good deal of testing on alternative optimization routines using the NLOPTR library for the constrained and unconstrained optimization. The methods I selected were fastest in most trials however it's possible other routines are superior.,Primary,Yes,Yes,No,Yes,
+MeucciRobustBayesianAllocation.R,efficientFrontier,Robust Bayesian Allocation,EfficientFrontier.m,Constructs the mean-variance efficient frontier using a quadratic solver,Primary,Yes,No,No,Yes,
+MeucciRobustBayesianAllocation.R,robustBayesianPortfolioOptimization,Robust Bayesian Allocation,n/a,A generic function to construct a Bayesian mean-variance efficient frontier and identifies the most robust portfolio,Primary,Yes,No,No,Yes,
+MeucciRobustBayesianAllocation.R,PartialConfidencePosterior,Robust Bayesian Allocation,n/a,"Constructs the partial confidence posterior based on a prior, sample mu/covariance, and relative confidence in the prior",Auxiliary,Yes,Yes,No,Yes,
+MeucciRobustBayesianAllocation.R,example script,Robust Bayesian Allocation,S_SimulationsCaseStudy.m,example application of Robust Bayesian,Example,No,No,No,Yes,
+MeucciRobustBayesianAllocation.R,demo/S_SnPCaseStudy.R,Robust Bayesian Allocation,S_SnPCaseStudy.m,example application of Robust Bayesian,Example,No,No,No,Yes,
+logToArithmeticCovariance.R,linreturn,Meucci - A Common Pitfall in Mean-Variance Estimation,n/a,Generate arithmetric returns and arithmetric covariance matrix given a distribution of log returns,Primary,Yes,No,No,Yes,Example is standalone (i.e. is not run during R CMD CHECK)
+Meucci_DetectOutliersviaMVE.R,RejectOutlier,"Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci",RejectOutlier.m,"Finds the ""worst"" outlier in a multivariate time series",Auxiliary but can be used as a primary function in other contexts,Yes,Yes,No,Yes,Example is standalone (i.e. is not run during R CMD CHECK)
+Meucci_DetectOutliersviaMVE.R,ComputeMVE,"Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci",ComputeMVE.m,Compute the minimum volume ellipsoid for a given (multi-variate) time-series,Auxiliary,Yes,No,No,Yes,Example is standalone (i.e. is not run during R CMD CHECK)
+Meucci_DetectOutliersviaMVE.R,DetectOutliersViaMVE,"Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci",,Use the minimum volume ellipsoid to detect outliers,Primary,Yes,Yes,No,Yes,"Return numOutliers see comment around ""Todo:"""
+Meucci_DetectOutliersviaMVE.R,NoisyObservations,"Sec. 4.6.1 of ""Risk and Asset Allocation"" - Springer (2005), by A. Meucci",,Generate observations from a two asset covariance matrix and add outliers,Primary,Yes,No,No,Yes,Example is standalone (i.e. is not run during R CMD CHECK)
+Prior2Posterior.R,PlotDistributions,A. Meucci - Fully Flexible Views: Theory and Practice,PlotDistributions.m,"Plots distributions of prior and posterior using numerical and analytical approach. Sometimes Meucci will call this function ""pHist.r"" in other code examples.",Primary,No,No,No,No,Need to convert this to GG Plot
+Prior2Posterior.R,Prior2Posterior,A. Meucci - Fully Flexible Views: Theory and Practice,Prior2Posterior.m,Useful function that blends a prior and posterior distribution,Primary,,,,,
+Prior2Posterior.R,Example script,A. Meucci - Fully Flexible Views: Theory and Practice,S_Main.m,Example compares analytical vs. numerical approach to entropy pooling,Example Script,n/a,n/a,n/a,n/a,
+MeucciButterflyTrading.R,PlotFrontier,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,PlotFrontier.m,A common function that plots the efficient frontier used throughout Meucci's various scripts. I'd like to develop a generic ggplot function that works across all of the Meucci scripts,Auxiliary but can be used as a primary function in other contexts,No,No,No,No,Need to convert this to GG Plot
+MeucciButterflyTrading.R,ViewCurveSlope,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,ViewCurveSlope.m,This is part of an example in Butterfly trading. This function creates a view on slope of the yield curve.,Auxiliary,No,No,No,No,
+MeucciButterflyTrading.R,ViewRealizedVol,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,ViewRealizedVol.m,This is part of an example in Butterfly trading. This function creates a view on realized vol,Auxiliary,No,No,No,No,
+MeucciButterflyTrading.R,ViewImpliedVol,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,ViewImpliedVol.m,This is part of an example in Butterfly trading. This function creates a view on implied vol,Auxiliary,No,No,No,No,
+MeucciButterflyTrading.R,ComputeCVaR,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,ComputeCVaR.m,This function computes the Conditional Value-At-Risk,Auxiliary,No,No,No,No,Consider generalizing this into a function that abstracts from the example
+MeucciButterflyTrading.R,LongShortMeanCVaRFrontier,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,LongShortMeanCVaRFrontier.m,An example that constructs the long short mean CVaR frontier ,Auxiliary,No,No,No,No,Consider generalizing this into a function that abstracts from the example
+MeucciButterflyTrading.R,MapVol,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,MapVol.m,Used in example,Auxiliary,No,No,No,No,
+MeucciButterflyTrading.R,HorizonPricing,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,HorizonPricing.m,Used to price the Butterflies in example,Auxiliary,No,No,No,No,
+MeucciButterflyTrading.R,Example scipt,A. Meucci - Fully Flexible Views: Theory and Practice - Butterfly Trading example,S_Main,Workflow example,Auxiliary,No,No,No,No,Fix directory pointers. Note: Requires MeucciButterflyPnL.rda
+MeucciCmaCopula.R,MvnRnd,http://www.symmys.com/node/162,MvnRnd.m,A common function that ensures sampled moments match population moments. This function is used in several of Meucci scripts. I am using a workaround and this is not implemented correctly as it requires a matrix package that returns the Unitary matrix from a Schur decomposition to complete properly.,Auxiliary but can be used as a primary function in other contexts,Yes,,,,Use Schur decomposition to solve Riccati equation and implement this properly. Need a function in R that returns the unitary matrix from a Schur decomposition. Right now function is only sampling from mvrnorm so sample moments do no match population moments. The overall CMA Copula script will work fine using the current implementation and number of draws can be increased so sample moments converge to population moments.
+MeucciCmaCopula.R,CMAseparation,Meucci - Marginal Copula Algorithm,CMAseparation.m,Decomposes arbitrary joint distributions (scenario-probabilities) into their copula and marginals,Primary,Yes,Yes,No,Yes,
+MeucciCmaCopula.R,CMA combination,Meucci - Marginal Copula Algorithm,CMAcombination.m,Glues an arbitrary copula and arbitrary marginal distributions into a new joint distribution,Primary,Yes,Yes,No,Yes,
+MeucciCmaCopula.R,PanicCopula,Meucci - Marginal Copula Algorithm,S_PanicCopula.m,Example script that demonstrates use of panic copula,Example Script,Yes,Yes,No,Yes,Add wireframe or surface plots to view Copula.. Note: This script requires EntropyProg.R
+HermiteGrid.R,pHist,Fully Flexible Extreme Views,pHist.m,A common function to generate probability weighted histogram. This helper function is used throughout Meucci scripts. I need to work on a generic ggplot implementation of this.,Auxiliary but can be used as a primary function in other contexts,No,No,No,Yes,
+HermiteGrid.R,normalizeProb,Fully Flexible Extreme Views,nomralizeProb.m,auxiliary function,Auxiliary,,,,,
+HermiteGrid.R,subIntervals,Fully Flexible Extreme Views,subIntervals.m,auxiliary function,Auxiliary,,,,,
+HermiteGrid.R,integrateSubIntervals,Fully Flexible Extreme Views,integrateSubIntervals.m,auxiliary function,Auxiliary,,,,,
+HermiteGrid.R,Prior2Posterior,Fully Flexible Extreme Views,Prior2Posterior.m,A useful function for blending a prior with posterior ,Auxiliary but can be used as a primary function in other contexts,,,,,
+HermiteGrid.R,hermitePolynomial,Fully Flexible Extreme Views,hermitePolynomial.m,auxiliary function,Auxiliary,,,,,
+HermiteGrid.R,Example Script,Fully Flexible Extreme Views,,Not complete -- I stopped working on this when I realized Meucci has better methods to deal with fat tails,Example Script,,,,,
+MeucciFullFlexibleBayesNets.R,CondProbViews,Fully Flexible Bayesian Networks - 2010,CondProbView.m,Generates views,Auxiliary but can be used as a primary function in other contexts,,,,,
+MeucciFullFlexibleBayesNets.R,Tweak,Fully Flexible Bayesian Networks - 2010,Tweak.m,Function that tests for consistency of views. Arguably this should be added to the Entropy Program although it is not in Meucci's implementation. WORK IN PROGRESS,Auxiliary but can be used as a primary function in other contexts,,,,,
+MeucciFullFlexibleBayesNets.R,ComputeMoments,Fully Flexible Bayesian Networks - 2010,ComputeMoments.m,"Takes a matrix of joint-scenario probability distributions and generates expectations, standard devation, and correlation matrix for the assets",Auxiliary,,,,,
+MeucciFullFlexibleBayesNets.R,Example Script,Fully Flexible Bayesian Networks - 2010,S_CaseStudy.m,This case study uses Entropy Pooling to compute Fully Flexible Bayesian networks for risk management,Example Script,,,,,
+MeucciInvariantProjection.R,Raw2Central,"Meucci - ""Risk and Asset Allocation""",Raw2Central.m,auxiliary function - Transforms raw moments into central moments,Auxiliary,Yes,No,No,Yes - in example script,
+MeucciInvariantProjection.R,Cumul2Raw,"Meucci - ""Risk and Asset Allocation""",Cumul2Raw.m,auxiliary function - Transforms cumulants of Y-t into raw moments,Auxiliary,Yes,No,No,Yes - in example script,
+MeucciInvariantProjection.R,Raw2Cumul,"Meucci - ""Risk and Asset Allocation""",Raw2Cumul.m,auxiliary function - Transforms raw moments into cumulants,Auxiliary,Yes,No,No,Yes - in example script,
+MeucciInvariantProjection.R,Central2Raw,"Meucci - ""Risk and Asset Allocation""",Central2Raw.m,auxiliary function - Transforms central moments into raw moments (first central moment defined as expectation),Auxiliary,Yes,No,No,Yes - in example script,
+MeucciInvariantProjection.R,SummStats,"Meucci - ""Risk and Asset Allocation""",SummStats.m,Compute summary stats,Primary,Yes,No,No,Yes - in example script,
+MeucciInvariantProjection.R,ProjectInvariant,"Meucci - ""Risk and Asset Allocation""",S_ProjSummStats.m,Example script,Example,Yes,No,No,Yes,
+MeucciInvariantProjection.R,GenerateLogNormalDistribution,"Meucci - ""Risk and Asset Allocation""",,Generates arbitrary distribution of a shifted-lognormal invariant,Primary,Yes,No,No,Yes - in ProjectInvariant documentation,
+,,,,,,,,,,
+MeucciRankingInformation.R,StackedBarChart,Entropy Pooling / Ranking Information,n/a,Plots efficient frontier weights,Primary,No,No,No,Yes - examples at bottom of script but not formalized,
+MeucciRankingInformation.R,ViewRankingTest,Entropy Pooling / Ranking Information,ViewRanking.m,"A generic function to create views with ranking information. I was creating this function so it could be used for general purposes rather than the specific purposes of Meucci's paper. Some consideration needs to be given to how multiple types of view constraints interact (i.e. a ranking view, a view on expectations, a view on correlation). The idea views can be stacked in the equality and inequality matrices and then the entropy program can be called to generate the posterior probabilities. This was my general plan of attack as the extant Meucci functions do not offer this capabilitiy (instead they focus one one-off views). This set of generic functions is a work in progress.",Primary,No,No,No,No,
+MeucciRankingInformation.R,ViewRanking,Entropy Pooling / Ranking Information,ViewRanking.m,A function that updates the posterior probabilities given view information,Auxiliary,No,No,No,Yes,
+MeucciRankingInformation.R,EfficientFrontier,Entropy Pooling / Ranking Information,EfficientFrontier.m,Generate efficient frontier ,Primary,No,No,No,Yes,
+MeucciRankingInformation.R,Example,Entropy Pooling / Ranking Information,S_Main,Example code,Example,No,No,Yes,Yes - examples at bottom of script but not formalized,
+,,,,,,,,,,
+,,,,,,,,,,
+,,,,,,,,,,
+,,,,,,,,,,
+,,,,,,,,,,
+,,,,,,,,,,
+,,,,,,,,,,
+"Auxiliary functions need not be exported. Primary functions are the workflow functions that call auxiliary functions. Some auxiliary functions such as pHist,MvnRnd, etc. are used in multiple areas.",,,,,,,,,,
+"Examples are usually beneath the function, or at bottom of the script",,,,,,,,,,
More information about the Returnanalytics-commits
mailing list