[Returnanalytics-commits] r2721 - in pkg/FactorAnalytics: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Aug 5 20:27:47 CEST 2013
Author: chenyian
Date: 2013-08-05 20:27:47 +0200 (Mon, 05 Aug 2013)
New Revision: 2721
Removed:
pkg/FactorAnalytics/R/portfolioSdDecomposition.R
Modified:
pkg/FactorAnalytics/R/
pkg/FactorAnalytics/R/factorModelCovariance.r
pkg/FactorAnalytics/R/factorModelMonteCarlo.R
pkg/FactorAnalytics/man/factorModelMonteCarlo.Rd
Log:
debug export tag and returnItem issues.
Property changes on: pkg/FactorAnalytics/R
___________________________________________________________________
Modified: svn:ignore
- FactorAnalytics-package.R
bootstrapFactorESdecomposition.r
bootstrapFactorVaRdecomposition.r
chart.RollingStyle.R
chart.Style.R
covEWMA.R
dCornishFisher.R
factorModelFactorRiskDecomposition.r
factorModelGroupRiskDecomposition.r
factorModelPerformanceAttribution.r
factorModelPortfolioRiskDecomposition.r
factorModelRiskAttribution.r
factorModelRiskDecomposition.r
factorModelSimulation.r
impliedFactorReturns.R
modifiedEsReport.R
modifiedIncrementalES.R
modifiedIncrementalVaR.R
modifiedPortfolioEsDecomposition.R
modifiedPortfolioVaRDecomposition.R
modifiedVaRReport.R
nonparametricEsReport.R
nonparametricIncrementalES.R
nonparametricIncrementalVaR.R
nonparametricPortfolioEsDecomposition.R
nonparametricPortfolioVaRDecomposition.R
nonparametricVaRReport.R
normalEsReport.R
normalIncrementalES.R
normalIncrementalVaR.R
normalPortfolioEsDecomposition.R
normalPortfolioVaRDecomposition.R
normalVaRReport.R
pCornishFisher.R
plot.FM.attribution.r
plot.MacroFactorModel.r
print.MacroFactorModel.r
qCornishFisher.R
rCornishFisher.R
scenarioPredictions.r
scenarioPredictionsPortfolio.r
style.QPfit.R
style.fit.R
summary.FM.attribution.r
summary.MacroFactorModel.r
table.RollingStyle.R
+ FactorAnalytics-package.R
bootstrapFactorESdecomposition.r
bootstrapFactorVaRdecomposition.r
chart.RollingStyle.R
chart.Style.R
covEWMA.R
dCornishFisher.R
factorModelFactorRiskDecomposition.r
factorModelGroupRiskDecomposition.r
factorModelPerformanceAttribution.r
factorModelPortfolioRiskDecomposition.r
factorModelRiskAttribution.r
factorModelRiskDecomposition.r
factorModelSimulation.r
impliedFactorReturns.R
modifiedEsReport.R
modifiedIncrementalES.R
modifiedIncrementalVaR.R
modifiedPortfolioEsDecomposition.R
modifiedPortfolioVaRDecomposition.R
modifiedVaRReport.R
nonparametricEsReport.R
nonparametricIncrementalES.R
nonparametricIncrementalVaR.R
nonparametricPortfolioEsDecomposition.R
nonparametricPortfolioVaRDecomposition.R
nonparametricVaRReport.R
normalEsReport.R
normalIncrementalES.R
normalIncrementalVaR.R
normalPortfolioEsDecomposition.R
normalPortfolioVaRDecomposition.R
normalVaRReport.R
pCornishFisher.R
plot.FM.attribution.r
plot.MacroFactorModel.r
portfolioSdDecomposition.R
print.MacroFactorModel.r
qCornishFisher.R
rCornishFisher.R
scenarioPredictions.r
scenarioPredictionsPortfolio.r
style.QPfit.R
style.fit.R
summary.FM.attribution.r
summary.MacroFactorModel.r
table.RollingStyle.R
Modified: pkg/FactorAnalytics/R/factorModelCovariance.r
===================================================================
--- pkg/FactorAnalytics/R/factorModelCovariance.r 2013-08-05 17:25:28 UTC (rev 2720)
+++ pkg/FactorAnalytics/R/factorModelCovariance.r 2013-08-05 18:27:47 UTC (rev 2721)
@@ -60,6 +60,8 @@
#' ret.cov.fundm <- factorModelCovariance(beta.mat1,fit.fund$factor.cov$cov,fit.fund$resid.variance)
#' fit.fund$returns.cov$cov == ret.cov.fundm
#' }
+#' @export
+#'
factorModelCovariance <-
function(beta, factor.cov, resid.variance) {
Modified: pkg/FactorAnalytics/R/factorModelMonteCarlo.R
===================================================================
--- pkg/FactorAnalytics/R/factorModelMonteCarlo.R 2013-08-05 17:25:28 UTC (rev 2720)
+++ pkg/FactorAnalytics/R/factorModelMonteCarlo.R 2013-08-05 18:27:47 UTC (rev 2721)
@@ -36,12 +36,14 @@
#' @param return.residuals logical; if \code{TRUE} then return simulated
#' residuals in output list object.
#' @return A list with the following components:
-#' @returnItem returns \code{n.boot x n.funds} matrix of simulated fund
+#' \itemize{
+#' \item returns \code{n.boot x n.funds} matrix of simulated fund
#' returns.
-#' @returnItem factors \code{n.boot x n.factors} matrix of resampled factor
+#' \item factors \code{n.boot x n.factors} matrix of resampled factor
#' returns. Returned only if \code{return.factors = TRUE}.
-#' @returnItem residuals \code{n.boot x n.funds} matrix of simulated fund
+#' \item residuals \code{n.boot x n.funds} matrix of simulated fund
#' residuals. Returned only if \code{return.residuals = TRUE}.
+#' }
#' @author Eric Zivot and Yi-An Chen.
#' @references Jiang, Y. (2009). UW PhD Thesis.
#' @export
Deleted: pkg/FactorAnalytics/R/portfolioSdDecomposition.R
===================================================================
--- pkg/FactorAnalytics/R/portfolioSdDecomposition.R 2013-08-05 17:25:28 UTC (rev 2720)
+++ pkg/FactorAnalytics/R/portfolioSdDecomposition.R 2013-08-05 18:27:47 UTC (rev 2721)
@@ -1,79 +0,0 @@
-#' Compute portfolio sd (risk) decomposition by asset.
-#'
-#' Compute portfolio sd (risk) decomposition by asset.
-#'
-#'
-#' @param w.vec N x 1 vector of portfolio weights
-#' @param cov.assets N x N asset covariance matrix
-#' @return an S3 list containing
-#' @returnItem sd.p Scalar, portfolio standard deviation.
-#' @returnItem mcsd.p 1 x N vector, marginal contributions to portfolio
-#' standard deviation.
-#' @returnItem csd.p 1 x N vector, contributions to portfolio standard
-#' deviation.
-#' @returnItem pcsd.p 1 x N vector, percent contribution to portfolio standard
-#' deviation.
-#' @author Eric Zivot and Yi-An Chen
-#' @references Qian, Hua and Sorensen (2007) Quantitative Equity Portfolio
-#' Management, chapter 3.
-#' @examples
-#'
-#' # load data from the database
-#' data(managers.df)
-#' ret.assets = managers.df[,(1:6)]
-#' factors = managers.df[,(7:9)]
-#' # fit the factor model with OLS
-#' fit <-fitMacroeconomicFactorModel(ret.assets,factors,fit.method="OLS",
-#' variable.selection="all subsets", factor.set = 3)
-#' # factor SD decomposition for HAM1
-#' cov.factors = var(factors)
-#' manager.names = colnames(managers.df[,(1:6)])
-#' factor.names = colnames(managers.df[,(7:9)])
-#' # assuming equal weight vector
-#' w.vec = rep(1/6,6)
-#' # compute with sample covariance matrix (omit NA)
-#' cov.sample = ccov(managers.df[,manager.names],na.action=na.omit)
-#' port.sd.decomp.sample = portfolioSdDecomposition(w.vec, cov.sample$cov)
-#' # show bar chart
-#' barplot(port.sd.decomp.sample$pcsd.p,
-#' main="Fund Percent Contributions to Portfolio SD",
-#' ylab="Percent Contribution", legend.text=FALSE,
-#' col="blue")
-#'
-#' # compute with factor model covariance matrix
-#' returnCov.mat<- factorModelCovariance(fit$beta.mat,var(factors),fit$residVars.vec)
-#' port.sd.decomp.fm = portfolioSdDecomposition(w.vec, returnCov.mat)
-#'
-#'
-portfolioSdDecomposition <-
-function(w.vec, cov.assets) {
-## Inputs:
-## w.vec n x 1 vector of portfolio weights
-## cov.assets n x n asset covariance matrix
-## Output:
-## A list with the following components:
-## sd.p scalar, portfolio sd
-## mcsd.p 1 x n vector, marginal contributions to portfolio sd
-## csd.p 1 x n vector, contributions to portfolio sd
-## pcsd.p 1 x n vector, percent contribution to portfolio sd
-
- if (any(diag(chol(cov.assets)) == 0))
- warning("Asset covariance matrix is not positive definite")
- ## compute portfolio level variance
- var.p = as.numeric(t(w.vec) %*% cov.assets %*% w.vec)
- sd.p = sqrt(var.p)
- ## compute marginal, component and percentage contributions to risk
- mcsd.p = (cov.assets %*% w.vec)/sd.p
- csd.p = w.vec*mcsd.p
- pcsd.p = csd.p/sd.p
- colnames(mcsd.p) = "MCSD"
- colnames(csd.p) = "CSD"
- colnames(pcsd.p) = "PCSD"
- ## return results
- ans = list(sd.p=sd.p,
- mcsd.p=t(mcsd.p),
- csd.p=t(csd.p),
- pcsd.p=t(pcsd.p))
- return(ans)
-}
-
Modified: pkg/FactorAnalytics/man/factorModelMonteCarlo.Rd
===================================================================
--- pkg/FactorAnalytics/man/factorModelMonteCarlo.Rd 2013-08-05 17:25:28 UTC (rev 2720)
+++ pkg/FactorAnalytics/man/factorModelMonteCarlo.Rd 2013-08-05 18:27:47 UTC (rev 2721)
@@ -56,7 +56,14 @@
return simulated residuals in output list object.}
}
\value{
- A list with the following components:
+ A list with the following components: \itemize{ \item
+ returns \code{n.boot x n.funds} matrix of simulated fund
+ returns. \item factors \code{n.boot x n.factors} matrix
+ of resampled factor returns. Returned only if
+ \code{return.factors = TRUE}. \item residuals
+ \code{n.boot x n.funds} matrix of simulated fund
+ residuals. Returned only if \code{return.residuals =
+ TRUE}. }
}
\description{
Simulate returns using factor model Monte Carlo method.
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