[Returnanalytics-commits] r2802 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2013-08-17 01:45:22 +0200 (Sat, 17 Aug 2013)
New Revision: 2802

Added:
   pkg/PortfolioAnalytics/sandbox/testing_mean_vs_pamean.R
Log:
Adding testing script comparing mean and pamean as objective functions.

Added: pkg/PortfolioAnalytics/sandbox/testing_mean_vs_pamean.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_mean_vs_pamean.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_mean_vs_pamean.R	2013-08-16 23:45:22 UTC (rev 2802)
@@ -0,0 +1,62 @@
+### Load the necessary packages
+library(PortfolioAnalytics)
+
+data(edhec)
+
+# Drop some indexes and reorder
+edhec.R = edhec[,c("Convertible Arbitrage", "Equity Market Neutral","Fixed Income Arbitrage", "Event Driven", "CTA Global", "Global Macro", "Long/Short Equity")]
+
+# Define pamean function
+pamean <- function(n=12, R, weights, geometric=TRUE){
+  as.vector(sum(Return.annualized(last(R,n), geometric=geometric)*weights))
+}
+
+# Define pasd function
+pasd <- function(R, weights){
+  as.numeric(StdDev(R=R, weights=weights)*sqrt(12)) # hardcoded for monthly data
+}
+
+# Create initial portfolio object used to initialize ALL the bouy portfolios
+init.portf <- portfolio.spec(assets=colnames(edhec.R), weight_seq=generatesequence(by=0.005))
+# Add leverage constraint
+init.portf <- add.constraint(portfolio=init.portf, type="leverage", min_sum=0.99, max_sum=1.01)
+# Add box constraint
+init.portf <- add.constraint(portfolio=init.portf, type="box", min=0.05, max=0.3)
+
+
+mean.portf <- add.objective(portfolio=init.portf,
+                            type="return", # the kind of objective this is
+                            name="mean", # name of the function
+                            enabled=TRUE, # enable or disable the objective
+                            multiplier=-1 # calculate it but don't use it in the objective
+)
+
+pamean.portf <- add.objective(portfolio=init.portf,
+                            type="return", # the kind of objective this is
+                            name="pamean", # name of the function
+                            enabled=TRUE, # enable or disable the objective
+                            multiplier=-1, # calculate it but don't use it in the objective
+                            arguments=list(n=60)
+)
+
+pasd.portf <- add.objective(portfolio=init.portf,
+                              type="risk", # the kind of objective this is
+                              name="pasd", # name of the function
+                              enabled=TRUE, # enable or disable the objective
+                              multiplier=1 # calculate it but don't use it in the objective
+)
+
+permutations = 500
+rp = random_portfolios(portfolio=init.portf, permutations=permutations)
+
+# Takes about 1.4 seconds
+mean_time <- system.time({ opt_mean <- optimize.portfolio(R=edhec.R, portfolio=mean.portf, optimize_method="random", rp=rp) })
+
+# Takes nearly 71 seconds!!!!!
+pamean_time <- system.time({ opt_pamean <- optimize.portfolio(R=edhec.R, portfolio=pamean.portf, optimize_method="random", rp=rp) })
+
+pamean_time / mean_time
+
+# takes about 1.5 seconds
+pasd_time <- system.time({ opt_pasd <- optimize.portfolio(R=edhec.R, portfolio=pasd.portf, optimize_method="random", rp=rp) })
+pasd_time