[Returnanalytics-commits] r2278 - pkg/PortfolioAnalytics/inst/doc
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Sep 6 22:56:25 CEST 2012
Author: braverock
Date: 2012-09-06 22:56:25 +0200 (Thu, 06 Sep 2012)
New Revision: 2278
Modified:
pkg/PortfolioAnalytics/inst/doc/DesignThoughts.Rnw
pkg/PortfolioAnalytics/inst/doc/PA.bib
Log:
- minor updates to contraints/penalties design thoughts
Modified: pkg/PortfolioAnalytics/inst/doc/DesignThoughts.Rnw
===================================================================
--- pkg/PortfolioAnalytics/inst/doc/DesignThoughts.Rnw 2012-09-05 17:37:27 UTC (rev 2277)
+++ pkg/PortfolioAnalytics/inst/doc/DesignThoughts.Rnw 2012-09-06 20:56:25 UTC (rev 2278)
@@ -12,6 +12,8 @@
\usepackage[bottom]{footmisc}% places footnotes at page bottom
\usepackage{ctable}
\usepackage{graphicx}
+\usepackage{caption}
+\usepackage{subcaption}
\usepackage{verbatim}
\usepackage{hyperref}
% see the list of further useful packages
@@ -69,7 +71,7 @@
\vspace{-2cm}
%\baselineskip=20pt
\renewcommand{\baselinestretch}{1}
-\title{Discussion of Upcoming and Desired \\ Design and Coding Decisions \\ in PortfolioAnalytics\citet{PortfolioAnalytics}}
+\title{Discussion of Upcoming and Desired \\ Design and Coding Decisions \\ in PortfolioAnalytics (\citeyear{PortfolioAnalytics})}
@@ -159,8 +161,8 @@
The mapping function should have the following features:
\begin{itemize}
\item[methods:] the methods should be able to be turned on and off, and applied in different orders. For some constraint mapping, it will be important to do things in a particular order. Also, for solvers that support certain types of constraints directly, it will be important to use the solver's features, and not use the corresponding mapping functionality.
- \item[layering:] \code{ROI} constains function \code{rbind.L\_constraint}, which combines the various linear inwequality constraints into a single model. We should examine this and see if we can make use of it, or something like it, to create a consolidated inequality constraint mapping capability
- \item[relocatable:] for some solvers such as \code{DEoptim}, the solver can use the mapping function to only evaluate the objective for portfolios that meet the constraints. For other solvers, where only box constraints are supported, we will need to either penalize or transform (see discussussion above in \ref{ss:currentstate}) weights vector later in the process, inside the \code{constrained\_objective} function.
+ \item[layering:] \code{ROI} constains function \code{rbind.L\_constraint}, which combines the various linear inequality constraints into a single model. We should examine this and see if we can make use of it, or something like it, to create a consolidated inequality constraint mapping capability
+ \item[relocatable:] for some solvers such as \code{DEoptim}, the solver can use the mapping function to only evaluate the objective for portfolios that meet the constraints. For other solvers, where only box constraints are supported, we will need to either penalize or transform (see discussion above in \ref{sec:currentstate}) weights vector later in the process, inside the \code{constrained\_objective} function.
\item[relax constraints:]we need the ability to relax infeasible constraints, either via the penalty method (just find the closest) or when transforming the weights vector to a feasible set. see also \ref{sec:penalty} for a discussion of adaptive penalties.
\end{itemize}
@@ -176,7 +178,9 @@
Several different methods have been proposed. In the case of constraints,
penalties should probably be relaxed as more infeasible solutions are found, as the feasible space is likely to be small. In the sase of objectives, arguably the opposte is true, where penalties should increase as the number of iterations increases, to speed convergence to a single solution, hopefully at or near the global minima.
+
+\section{Bibliography}
\bibliographystyle{chicago}
-\bibliography{PA.bib}
+\bibliography{PA}
\end{document}
Modified: pkg/PortfolioAnalytics/inst/doc/PA.bib
===================================================================
--- pkg/PortfolioAnalytics/inst/doc/PA.bib 2012-09-05 17:37:27 UTC (rev 2277)
+++ pkg/PortfolioAnalytics/inst/doc/PA.bib 2012-09-06 20:56:25 UTC (rev 2278)
@@ -1,426 +1,434 @@
-% This file was created with JabRef 2.5.
-% Encoding: UTF-8
-
- at ARTICLE{Ardia2010,
- author = {Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine
- and Peterson, Brian},
- title = {Differential evolution (DEoptim) for non-convex portfolio optimization},
- journal = {Mimeo},
- year = {2010},
- owner = {Administrator},
- timestamp = {2010.05.30}
-}
-
- at MANUAL{DEoptim,
- title = {{DEoptim}: Differential Evolution Optimization in {R}},
- author = {Ardia, David and Mullen, Katharine},
- year = {2009},
- note = {R package version 2.00-04},
- url = {http://CRAN.R-project.org/package=DEoptim}
-}
-
- at ARTICLE{Bollerslev90,
- author = {Bollerslev, T.},
- title = {Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate
- Generalized {ARCH} Model},
- journal = {Review of Economics and Statistics},
- year = {1990},
- volume = {72},
- pages = {498-505},
- owner = {Administrator},
- timestamp = {2010.06.14}
-}
-
- at MISC{BoudtCarlPeterson2010,
- author = {Boudt, Kris and Carl, Peter and Peterson, Brian G.},
- title = {Portfolio Optimization with Conditional Value-at-Risk Budgets},
- month = jan,
- year = {2010},
- owner = {ardiad},
- timestamp = {2010.02.09}
-}
-
- at MISC{PortAnalytics,
- author = {Boudt, Kris and Carl, Peter and Brian G. Peterson},
- title = {{PortfolioAnalytics}: Portfolio Analysis, including numeric methods
- for optimization of portfolios},
- year = {2010},
- note = {R package version 0.5},
- owner = {brian},
- timestamp = {2008.02.01},
- url = {http://braverock.com/R/}
-}
-
- at INPROCEEDINGS{BoudtPetersonCarl2008,
- author = {Boudt, Kris and Peterson, Brian G and Carl, Peter},
- title = {Hedge Fund Portfolio Selection with Modified Expected Shortfall},
- booktitle = {Computational Finance and its Applications III},
- year = {2008},
- editor = {Brebbia, C. and Constantino, M. and Larran, M.},
- series = {WIT Transactions on Modelling and Simulation},
- publisher = {WIT, Southampton},
- owner = {Administrator},
- timestamp = {2010.02.01}
-}
-
- at ARTICLE{Boudt2008,
- author = {Boudt, Kris and Peterson, Brian G. and Croux, Christophe},
- title = {Estimation and Decomposition of Downside Risk for Portfolios with
- Non-Normal Returns},
- journal = {Journal of Risk},
- year = {2008},
- volume = {11},
- pages = {79-103},
- number = {2},
- keywords = {Value at Risk, VaR, Component Value at Risk, Expected Shortfall, ES,
- Conditional Value at Risk, CVaR, risk contribution, portfolio allocation,
- Cornish-Fisher expansion, Edgeworth expansion},
- owner = {brian},
- timestamp = {2007.09.12}
-}
-
- at ARTICLE{Burns2010,
- author = {Burns},
- title = {http://www.burns-stat.com/pages/Finance/random_portfolios.html},
- owner = {Administrator},
- timestamp = {2010.05.30}
-}
-
- at ARTICLE{BornerHigginsKantelhardtScheiter2007,
- author = {B{\"{o}}rner, Jan and Higgins, Steven I. and Kantelhardt, Jochen
- and Scheiter, Simon},
- title = {Rainfall or Price Variability: What Determines Rangeland Management
- Decisions? A Simulation-Optimization Approach to {S}outh {A}frican
- Savanas},
- journal = {Agricultural Economics},
- year = {2007},
- volume = {37},
- pages = {189-200},
- number = {2--3},
- month = sep # {--} # nov,
- doi = {10.1111/j.1574-0862.2007.00265.x},
- owner = {ardiad},
- timestamp = {2009.12.03}
-}
-
- at ARTICLE{CaoVilarDevia2009,
- author = {Cao, Ricardo and Vilar, Juan M. and Devia, Andres},
- title = {Modelling Consumer Credit Risk via Survival Analysis},
- journal = {Statistics \& Operations Research Transactions},
- year = {2009},
- volume = {33},
- pages = {3-30},
- number = {1},
- month = jan # {-} # jun,
- owner = {ardiad},
- timestamp = {2009.12.03}
-}
-
- at MISC{Carl2007,
- author = {Peter Carl and Brian G. Peterson},
- title = {{PerformanceAnalytics}: Econometric Tools for Performance and Risk
- Analysis in {R}},
- year = {2009},
- note = {R package version 1.0.0},
- owner = {brian},
- timestamp = {2008.02.01},
- url = {http://braverock.com/R/}
-}
-
- at MISC{CarlPetersonBoudt2010,
- author = {Carl, Peter and Peterson, Brian G. and Boudt, Kris},
- title = {Business Objectives and Complex Portfolio Optimization},
- howpublished = {Presentation at R/Finance 2010. Available at: \url{http://www.rinfinance.com/agenda/2010/Carl+Peterson+Boudt_Tutorial.pdf}},
- year = {2010},
- owner = {ardiad},
- timestamp = {2010.02.09}
-}
-
- at MANUAL{foreach,
- title = {foreach: Foreach looping construct for R},
- author = {REvolution Computing},
- year = {2009},
- note = {R package version 1.3.0},
- url = {http://CRAN.R-project.org/package=foreach}
-}
-
- at ARTICLE{Cornish1937,
- author = {Cornish, Edmund A. and Fisher, Ronald A.},
- title = {Moments and Cumulants in the Specification of Distributions},
- journal = {Revue de l'Institut International de Statistique},
- year = {1937},
- volume = {5},
- pages = {307-320},
- number = {4},
- owner = {brian},
- timestamp = {2007.08.19}
-}
-
- at ARTICLE{Favre2002,
- author = {Favre, Laurent and Galeano, Jose-Antonio},
- title = {Mean-Modified Value-at-Risk Optimization with Hedge Funds},
- journal = {Journal of Alternative Investment},
- year = {2002},
- volume = {5},
- pages = {2-21},
- number = {2},
- owner = {brian},
- timestamp = {2007.07.25}
-}
-
- at INCOLLECTION{GilliMaringerWinker2008,
- author = {Gilli, Manfred and Maringer, Dietmar G. and Winker, Peter},
- title = {Applications of Heuristics in Finance},
- booktitle = {Handbook on Information Technology in Finance},
- publisher = {Springer-Verlag},
- year = {2008},
- editor = {Schlottmann, D. and Weinhardt, C. and Schlottmann, F.},
- chapter = {26},
- address = {Berlin, Heidelberg},
- owner = {ardiad},
- timestamp = {2010.02.07}
-}
-
- at MISC{GilliSchumann2009,
- author = {Gilli, Mandfred and Schumann, Enrico},
- title = {Heuristic Optimisation in Financial Modelling},
- howpublished = {COMISEF wps-007 09/02/2009},
- year = {2009},
- owner = {ardiad},
- timestamp = {2010.02.07}
-}
-
- at MISC{GilliWinker2008,
- author = {Gilli, Mandfred and Winker, Peter},
- title = {A Review of Heuristic Optimization Methods in Econometrics},
- howpublished = {Swiss Institute Research paper series 08-12},
- month = dec,
- year = {2008},
- owner = {ardiad},
- timestamp = {2010.02.07}
-}
-
- at ARTICLE{HigginsKantelhardtScheiterBoerner2007,
- author = {Higgins, Steven I. and Kantelhardt, Jochen and Scheiter, Simon and
- Boerner, Jan},
- title = {Sustainable Management of Extensively Managed Savanna Rangelands},
- journal = {Ecological Economics},
- year = {2007},
- volume = {62},
- pages = {102-114},
- number = {1},
- month = apr,
- doi = {10.1016/j.ecolecon.2006.05.019},
- owner = {ardiad},
- timestamp = {2009.12.03}
-}
-
- at BOOK{Holland1975,
- title = {Adaptation in Natural Artificial Systems},
- publisher = {University of Michigan Press},
- year = {1975},
- author = {Holland, John H.},
- address = {Ann Arbor}
-}
-
- at ARTICLE{KrinkMittnikPaterlini2009,
- author = {Krink, Thiemo and Mittnik, Stefan and Paterlini, Sandra},
- title = {Differential Evolution and Combinatorial Search for Constrained Index-Tracking},
- journal = {Annals of Operations Research},
- year = {2009},
- volume = {172},
- pages = {153-176},
- doi = {10.1007/s10479-009-0552-1},
- owner = {ardiad},
- timestamp = {2010.02.05}
-}
-
- at ARTICLE{KrinkPaterlini2009,
- author = {Krink, Thiemo and Paterlini, Sandra},
- title = {Multiobjective Optimization using Differential Evolution for Real-World
- Portfolio Optimization},
- journal = {Computational Management Science},
- year = {2009},
- doi = {10.1007/s10287-009-0107-6},
- owner = {ardiad},
- timestamp = {2010.02.05}
-}
-
- at MISC{Lampinen2009,
- author = {Lampinen, Jouni A.},
- title = {A Bibliography of Differential Evolution Algorithm},
- year = {2009},
- owner = {ardiad},
- timestamp = {2010.02.05},
- url = {http://www2lutfi/~jlampine/debibliohtm}
-}
-
- at INCOLLECTION{Maringer2005,
- author = {Maringer, Dietmar G.},
- title = {Portfolio Management with Heuristic Optimization},
- booktitle = {Advanced in Computational Management Science},
- publisher = {Springer-Verlag},
- year = {2005},
- volume = {8},
- series = {Advances in Computational Management Science},
- chapter = {14},
- owner = {ardiad},
- timestamp = {2010.02.07}
-}
-
- at ARTICLE{MaringerMeyer2008,
- author = {Maringer, Dietmar G. and Meyer, Mark},
- title = {Smooth Transition Autoregressive Models. New Approaches to the Model
- Selection Problem},
- journal = {Studies in Nonlinear Dynamics \& Econometrics},
- year = {2008},
- volume = {12},
- pages = {1-19},
- number = {1},
- month = jan,
- note = {Article nr. 5},
- file = {MaringerMeyer_SmoothTransitionAutoregressiveModelsNewApproachesToTheModelSelectionProblem.PDF:MaringerMeyer_SmoothTransitionAutoregressiveModelsNewApproachesToTheModelSelectionProblem.PDF:PDF},
- owner = {ardiad},
- timestamp = {2010.02.07},
- url = {http://www.bepress.com/snde/vol12/iss1/}
-}
-
- at ARTICLE{MaringerOyewumi2007,
- author = {Maringer, Dietmar G. and Oyewumi, Olufemi},
- title = {Index Tracking with Constrained Portfolios},
- journal = {Intelligent Systems in Accounting, Finance \& Management},
- year = {2007},
- volume = {15},
- pages = {57-71},
- number = {1--2},
- doi = {10.1002/isaf.285},
- owner = {ardiad},
- timestamp = {2010.02.05}
-}
-
- at BOOK{Mitchell1998,
- title = {An Introduction to Genetic Algorithms},
- publisher = {The MIT Press},
- year = {1998},
- author = {Mitchell, Melanie}
-}
-
- at MISC{MullenArdiaGilWindoverCline2009,
- author = {Mullen, Katharine M. and Ardia, David and Gil, David L. and Windover,
- Donald and Cline, James},
- title = {{DEoptim}: An {R} Package for Global Optimization by Differential
- Evolution},
- month = dec,
- year = {2009},
- owner = {ardiad},
- timestamp = {2010.02.02}
-}
-
- at MASTERSTHESIS{OpsinaArango2009,
- author = {Opsina Arango, Juan David},
- title = {Estimacion de un Modelo de Difusion con Saltos con Distribucion de
- Error Generalizada Asimetrica usando Algorithmos Evolutivos},
- school = {Universidad Nacional de Colombia},
- year = {2009},
- owner = {ardiad},
- timestamp = {2009.12.03}
-}
-
- at BOOK{PriceStornLampinen2006,
- title = {Differential Evolution: A Practical Approach to Global Optimization},
- publisher = {Springer-Verlag},
- year = {2006},
- author = {Price, Kenneth V. and Storn, Rainer M. and Lampinen, Jouni A.},
- address = {Berlin, Germany},
- edition = {second},
- month = dec,
- isbn = {3540209506}
-}
-
- at MANUAL{xts,
- title = {xts: Extensible Time Series},
- author = {Jeffrey A. Ryan and Josh M. Ulrich},
- year = {2010},
- note = {R package version 0.7-0},
- url = {http://CRAN.R-project.org/package=xts}
-}
-
- at ARTICLE{Scaillet2004,
- author = {Scaillet, Olivier},
- title = {Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall},
- journal = {Mathematical Finance},
- year = {2002},
- volume = {14},
- pages = {74-86},
- number = {1},
- owner = {brian},
- timestamp = {2007.10.30}
-}
-
- at ARTICLE{StornPrice1997,
- author = {Storn, Rainer and Price, Kenneth},
- title = {Differential Evolution -- A Simple and Efficient Heuristic for Global
- Optimization over Continuous Spaces},
- journal = {Journal of Global Optimization},
- year = {1997},
- volume = {11},
- pages = {341-359},
- number = {4},
- address = {Hingham, MA, USA},
- issn = {0925-5001},
- publisher = {Kluwer Academic Publishers}
-}
-
- at ARTICLE{Uryasev1999,
- author = {Uryasev, S. and Rockafellar, R.},
- title = {Optimization of Conditional Value-at-Risk},
- journal = {Journal of Risk},
- year = {2000},
- volume = {2},
- pages = {21-41},
- number = {3},
- owner = {brian},
- timestamp = {2007.07.25}
-}
-
- at BOOK{fPortfolioBook,
- title = {Portfolio Optimization with R/Rmetrics},
- publisher = {Rmetrics Association \& Finance Online, www.rmetrics.org},
- year = {2010},
- editor = {Wuertz, Diethelm and Hanf, Martin},
- author = {Wuertz and Diethelm and Chalabi and Yohan and Chen and William and
- Ellis and Andrew},
- month = {April},
- note = {R package version 2110.79}
-}
-
- at MANUAL{fPortfolio,
- title = {{fPortfolio}: Portfolio Selection and Optimization in {R}},
- author = {Wuertz, Diethelm and {{R}metrics core team}},
- year = {2009},
- note = {R package version 2100.78},
- owner = {ardiad},
- timestamp = {2010.02.09},
- url = {http://CRAN.R-project.org/package=DEoptim}
-}
-
- at CONFERENCE{Yollin2009,
- author = {Yollin, Guy},
- title = {{R} Tools for Portfolio Optimization},
- booktitle = {Presentation at {R}/{F}inance conference 2009},
- year = {2009},
- owner = {Administrator},
- timestamp = {2010.01.31}
-}
-
- at ARTICLE{Zangari1996,
- author = {Zangari, Peter},
- title = {A {VaR} Methodology for Portfolios that include Options},
- journal = {RiskMetrics Monitor},
- year = {1996},
- volume = {First Quarter},
- pages = {4-12},
- owner = {brian},
- timestamp = {2007.08.19}
-}
-
+% This file was created with JabRef 2.5.
+% Encoding: UTF-8
+
+ at ARTICLE{Ardia2010,
+ author = {Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine
+ and Peterson, Brian},
+ title = {Differential evolution (DEoptim) for non-convex portfolio optimization},
+ journal = {Mimeo},
+ year = {2010},
+ owner = {Administrator},
+ timestamp = {2010.05.30}
+}
+
+ at MANUAL{DEoptim,
+ title = {{DEoptim}: Differential Evolution Optimization in {R}},
+ author = {Ardia, David and Mullen, Katharine},
+ year = {2009},
+ note = {R package version 2.00-04},
+ url = {http://CRAN.R-project.org/package=DEoptim}
+}
+
+ at ARTICLE{Bollerslev90,
+ author = {Bollerslev, T.},
+ title = {Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate
+ Generalized {ARCH} Model},
+ journal = {Review of Economics and Statistics},
+ year = {1990},
+ volume = {72},
+ pages = {498-505},
+ owner = {Administrator},
+ timestamp = {2010.06.14}
+}
+
+ at MISC{BoudtCarlPeterson2010,
+ author = {Boudt, Kris and Carl, Peter and Peterson, Brian G.},
+ title = {Portfolio Optimization with Conditional Value-at-Risk Budgets},
+ month = jan,
+ year = {2010},
+ owner = {ardiad},
+ timestamp = {2010.02.09}
+}
+
+
+ at MISC{PortfolioAnalytics,
+ author = {Kris Boudt and Peter Carl and Brian G. Peterson},
+ title = {{PortfolioAnalytics}: Portfolio Analysis, including numeric methods
+ for optimization of portfolios},
+ year = {2012},
+ note = {R package version 0.8.2},
+ owner = {brian},
+ timestamp = {2012.09.01},
+ url = {https://r-forge.r-project.org/projects/returnanalytics/}
+}
+ at INPROCEEDINGS{BoudtPetersonCarl2008,
+ author = {Boudt, Kris and Peterson, Brian G and Carl, Peter},
+ title = {Hedge Fund Portfolio Selection with Modified Expected Shortfall},
+ booktitle = {Computational Finance and its Applications III},
+ year = {2008},
+ editor = {Brebbia, C. and Constantino, M. and Larran, M.},
+ series = {WIT Transactions on Modelling and Simulation},
+ publisher = {WIT, Southampton},
+ owner = {Administrator},
+ timestamp = {2010.02.01}
+}
+
+ at ARTICLE{Boudt2008,
+ author = {Boudt, Kris and Peterson, Brian G. and Croux, Christophe},
+ title = {Estimation and Decomposition of Downside Risk for Portfolios with
+ Non-Normal Returns},
+ journal = {Journal of Risk},
+ year = {2008},
+ volume = {11},
+ pages = {79-103},
+ number = {2},
+ keywords = {Value at Risk, VaR, Component Value at Risk, Expected Shortfall, ES,
+ Conditional Value at Risk, CVaR, risk contribution, portfolio allocation,
+ Cornish-Fisher expansion, Edgeworth expansion},
+ owner = {brian},
+ timestamp = {2007.09.12}
+}
+
+ at ARTICLE{Burns2010,
+ author = {Burns},
+ title = {http://www.burns-stat.com/pages/Finance/random_portfolios.html},
+ owner = {Administrator},
+ timestamp = {2010.05.30}
+}
+
+ at ARTICLE{BornerHigginsKantelhardtScheiter2007,
+ author = {B{\"{o}}rner, Jan and Higgins, Steven I. and Kantelhardt, Jochen
+ and Scheiter, Simon},
+ title = {Rainfall or Price Variability: What Determines Rangeland Management
+ Decisions? A Simulation-Optimization Approach to {S}outh {A}frican
+ Savanas},
+ journal = {Agricultural Economics},
+ year = {2007},
+ volume = {37},
+ pages = {189-200},
+ number = {2--3},
+ month = sep # {--} # nov,
+ doi = {10.1111/j.1574-0862.2007.00265.x},
+ owner = {ardiad},
+ timestamp = {2009.12.03}
+}
+
+ at ARTICLE{CaoVilarDevia2009,
+ author = {Cao, Ricardo and Vilar, Juan M. and Devia, Andres},
+ title = {Modelling Consumer Credit Risk via Survival Analysis},
+ journal = {Statistics \& Operations Research Transactions},
+ year = {2009},
+ volume = {33},
+ pages = {3-30},
+ number = {1},
+ month = jan # {-} # jun,
+ owner = {ardiad},
+ timestamp = {2009.12.03}
+}
+
+ at MISC{Carl2007,
+ author = {Peter Carl and Brian G. Peterson},
+ title = {{PerformanceAnalytics}: Econometric Tools for Performance and Risk
+ Analysis in {R}},
+ year = {2009},
+ note = {R package version 1.0.0},
+ owner = {brian},
+ timestamp = {2008.02.01},
+ url = {http://braverock.com/R/}
+}
+
+ at MISC{CarlPetersonBoudt2010,
+ author = {Carl, Peter and Peterson, Brian G. and Boudt, Kris},
+ title = {Business Objectives and Complex Portfolio Optimization},
+ howpublished = {Presentation at R/Finance 2010. Available at: \url{http://www.rinfinance.com/agenda/2010/Carl+Peterson+Boudt_Tutorial.pdf}},
+ year = {2010},
+ owner = {ardiad},
+ timestamp = {2010.02.09}
+}
+
+ at MANUAL{foreach,
+ title = {foreach: Foreach looping construct for R},
+ author = {REvolution Computing},
+ year = {2009},
+ note = {R package version 1.3.0},
+ url = {http://CRAN.R-project.org/package=foreach}
+}
+
+ at ARTICLE{Cornish1937,
+ author = {Cornish, Edmund A. and Fisher, Ronald A.},
+ title = {Moments and Cumulants in the Specification of Distributions},
+ journal = {Revue de l'Institut International de Statistique},
+ year = {1937},
+ volume = {5},
+ pages = {307-320},
+ number = {4},
+ owner = {brian},
+ timestamp = {2007.08.19}
+}
+
+ at ARTICLE{Favre2002,
+ author = {Favre, Laurent and Galeano, Jose-Antonio},
+ title = {Mean-Modified Value-at-Risk Optimization with Hedge Funds},
+ journal = {Journal of Alternative Investment},
+ year = {2002},
+ volume = {5},
+ pages = {2-21},
+ number = {2},
+ owner = {brian},
+ timestamp = {2007.07.25}
+}
+
+ at INCOLLECTION{GilliMaringerWinker2008,
+ author = {Gilli, Manfred and Maringer, Dietmar G. and Winker, Peter},
+ title = {Applications of Heuristics in Finance},
+ booktitle = {Handbook on Information Technology in Finance},
+ publisher = {Springer-Verlag},
+ year = {2008},
+ editor = {Schlottmann, D. and Weinhardt, C. and Schlottmann, F.},
+ chapter = {26},
+ address = {Berlin, Heidelberg},
+ owner = {ardiad},
+ timestamp = {2010.02.07}
+}
+
+ at MISC{GilliSchumann2009,
+ author = {Gilli, Mandfred and Schumann, Enrico},
+ title = {Heuristic Optimisation in Financial Modelling},
+ howpublished = {COMISEF wps-007 09/02/2009},
+ year = {2009},
+ owner = {ardiad},
+ timestamp = {2010.02.07}
+}
+
+ at MISC{GilliWinker2008,
+ author = {Gilli, Mandfred and Winker, Peter},
+ title = {A Review of Heuristic Optimization Methods in Econometrics},
+ howpublished = {Swiss Institute Research paper series 08-12},
+ month = dec,
+ year = {2008},
+ owner = {ardiad},
+ timestamp = {2010.02.07}
+}
+
+ at ARTICLE{HigginsKantelhardtScheiterBoerner2007,
+ author = {Higgins, Steven I. and Kantelhardt, Jochen and Scheiter, Simon and
+ Boerner, Jan},
+ title = {Sustainable Management of Extensively Managed Savanna Rangelands},
+ journal = {Ecological Economics},
+ year = {2007},
+ volume = {62},
+ pages = {102-114},
+ number = {1},
+ month = apr,
+ doi = {10.1016/j.ecolecon.2006.05.019},
+ owner = {ardiad},
+ timestamp = {2009.12.03}
+}
+
+ at BOOK{Holland1975,
+ title = {Adaptation in Natural Artificial Systems},
+ publisher = {University of Michigan Press},
+ year = {1975},
+ author = {Holland, John H.},
+ address = {Ann Arbor}
+}
+
+ at ARTICLE{KrinkMittnikPaterlini2009,
+ author = {Krink, Thiemo and Mittnik, Stefan and Paterlini, Sandra},
+ title = {Differential Evolution and Combinatorial Search for Constrained Index-Tracking},
+ journal = {Annals of Operations Research},
+ year = {2009},
+ volume = {172},
+ pages = {153-176},
+ doi = {10.1007/s10479-009-0552-1},
+ owner = {ardiad},
+ timestamp = {2010.02.05}
+}
+
+ at ARTICLE{KrinkPaterlini2009,
+ author = {Krink, Thiemo and Paterlini, Sandra},
+ title = {Multiobjective Optimization using Differential Evolution for Real-World
+ Portfolio Optimization},
+ journal = {Computational Management Science},
+ year = {2009},
+ doi = {10.1007/s10287-009-0107-6},
+ owner = {ardiad},
+ timestamp = {2010.02.05}
+}
+
+ at MISC{Lampinen2009,
+ author = {Lampinen, Jouni A.},
+ title = {A Bibliography of Differential Evolution Algorithm},
+ year = {2009},
+ owner = {ardiad},
+ timestamp = {2010.02.05},
+ url = {http://www2lutfi/~jlampine/debibliohtm}
+}
+
+ at INCOLLECTION{Maringer2005,
+ author = {Maringer, Dietmar G.},
+ title = {Portfolio Management with Heuristic Optimization},
+ booktitle = {Advanced in Computational Management Science},
+ publisher = {Springer-Verlag},
+ year = {2005},
+ volume = {8},
+ series = {Advances in Computational Management Science},
+ chapter = {14},
+ owner = {ardiad},
+ timestamp = {2010.02.07}
+}
+
+ at ARTICLE{MaringerMeyer2008,
+ author = {Maringer, Dietmar G. and Meyer, Mark},
+ title = {Smooth Transition Autoregressive Models. New Approaches to the Model
+ Selection Problem},
+ journal = {Studies in Nonlinear Dynamics \& Econometrics},
+ year = {2008},
+ volume = {12},
+ pages = {1-19},
+ number = {1},
+ month = jan,
+ note = {Article nr. 5},
+ file = {MaringerMeyer_SmoothTransitionAutoregressiveModelsNewApproachesToTheModelSelectionProblem.PDF:MaringerMeyer_SmoothTransitionAutoregressiveModelsNewApproachesToTheModelSelectionProblem.PDF:PDF},
+ owner = {ardiad},
+ timestamp = {2010.02.07},
+ url = {http://www.bepress.com/snde/vol12/iss1/}
+}
+
+ at ARTICLE{MaringerOyewumi2007,
+ author = {Maringer, Dietmar G. and Oyewumi, Olufemi},
+ title = {Index Tracking with Constrained Portfolios},
+ journal = {Intelligent Systems in Accounting, Finance \& Management},
+ year = {2007},
+ volume = {15},
+ pages = {57-71},
+ number = {1--2},
+ doi = {10.1002/isaf.285},
+ owner = {ardiad},
+ timestamp = {2010.02.05}
+}
+
+ at BOOK{Mitchell1998,
+ title = {An Introduction to Genetic Algorithms},
+ publisher = {The MIT Press},
+ year = {1998},
+ author = {Mitchell, Melanie}
+}
+
+ at MISC{MullenArdiaGilWindoverCline2009,
+ author = {Mullen, Katharine M. and Ardia, David and Gil, David L. and Windover,
+ Donald and Cline, James},
+ title = {{DEoptim}: An {R} Package for Global Optimization by Differential
+ Evolution},
+ month = dec,
+ year = {2009},
+ owner = {ardiad},
+ timestamp = {2010.02.02}
+}
+
+ at MASTERSTHESIS{OpsinaArango2009,
+ author = {Opsina Arango, Juan David},
+ title = {Estimacion de un Modelo de Difusion con Saltos con Distribucion de
+ Error Generalizada Asimetrica usando Algorithmos Evolutivos},
+ school = {Universidad Nacional de Colombia},
+ year = {2009},
+ owner = {ardiad},
+ timestamp = {2009.12.03}
+}
+
+ at BOOK{PriceStornLampinen2006,
+ title = {Differential Evolution: A Practical Approach to Global Optimization},
+ publisher = {Springer-Verlag},
+ year = {2006},
+ author = {Price, Kenneth V. and Storn, Rainer M. and Lampinen, Jouni A.},
+ address = {Berlin, Germany},
+ edition = {second},
+ month = dec,
+ isbn = {3540209506}
+}
+
+ at MANUAL{xts,
+ title = {xts: Extensible Time Series},
+ author = {Jeffrey A. Ryan and Josh M. Ulrich},
+ year = {2010},
+ note = {R package version 0.7-0},
+ url = {http://CRAN.R-project.org/package=xts}
+}
+
+ at ARTICLE{Scaillet2004,
+ author = {Scaillet, Olivier},
+ title = {Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall},
+ journal = {Mathematical Finance},
+ year = {2002},
+ volume = {14},
+ pages = {74-86},
+ number = {1},
+ owner = {brian},
+ timestamp = {2007.10.30}
+}
+
+ at ARTICLE{StornPrice1997,
+ author = {Storn, Rainer and Price, Kenneth},
+ title = {Differential Evolution -- A Simple and Efficient Heuristic for Global
+ Optimization over Continuous Spaces},
+ journal = {Journal of Global Optimization},
+ year = {1997},
+ volume = {11},
+ pages = {341-359},
+ number = {4},
+ address = {Hingham, MA, USA},
+ issn = {0925-5001},
+ publisher = {Kluwer Academic Publishers}
+}
+
+ at ARTICLE{Uryasev1999,
+ author = {Uryasev, S. and Rockafellar, R.},
+ title = {Optimization of Conditional Value-at-Risk},
+ journal = {Journal of Risk},
+ year = {2000},
+ volume = {2},
+ pages = {21-41},
+ number = {3},
+ owner = {brian},
+ timestamp = {2007.07.25}
+}
+
+ at BOOK{fPortfolioBook,
+ title = {Portfolio Optimization with R/Rmetrics},
+ publisher = {Rmetrics Association \& Finance Online, www.rmetrics.org},
+ year = {2010},
+ editor = {Wuertz, Diethelm and Hanf, Martin},
+ author = {Wuertz and Diethelm and Chalabi and Yohan and Chen and William and
+ Ellis and Andrew},
+ month = {April},
+ note = {R package version 2110.79}
+}
+
+ at MANUAL{fPortfolio,
+ title = {{fPortfolio}: Portfolio Selection and Optimization in {R}},
+ author = {Wuertz, Diethelm and {{R}metrics core team}},
+ year = {2009},
+ note = {R package version 2100.78},
+ owner = {ardiad},
+ timestamp = {2010.02.09},
+ url = {http://CRAN.R-project.org/package=DEoptim}
+}
+
+ at CONFERENCE{Yollin2009,
+ author = {Yollin, Guy},
+ title = {{R} Tools for Portfolio Optimization},
+ booktitle = {Presentation at {R}/{F}inance conference 2009},
+ year = {2009},
+ owner = {Administrator},
+ timestamp = {2010.01.31}
+}
+
+ at ARTICLE{Zangari1996,
+ author = {Zangari, Peter},
+ title = {A {VaR} Methodology for Portfolios that include Options},
+ journal = {RiskMetrics Monitor},
+ year = {1996},
+ volume = {First Quarter},
+ pages = {4-12},
+ owner = {brian},
+ timestamp = {2007.08.19}
+}
+
+ at BOOK{Scherer2005,
+ title = {Modern Portfolio Optimization},
+ publisher = {Springer},
+ year = {2005},
+ author = {Scherer, Bernd. and Martin, Douglas},
+ owner = {brian},
+ timestamp = {2007.08.19}
+}
\ No newline at end of file
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