[Returnanalytics-commits] r2827 - in pkg/PerformanceAnalytics/sandbox/pulkit: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Aug 19 16:44:14 CEST 2013
Author: pulkit
Date: 2013-08-19 16:44:14 +0200 (Mon, 19 Aug 2013)
New Revision: 2827
Modified:
pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION
pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/ExtremeDrawdown.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/PsrPortfolio.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/rollDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/table.PSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/table.Penance.Rd
Log:
added see also
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION 2013-08-19 14:44:14 UTC (rev 2827)
@@ -7,7 +7,8 @@
Contributors: Peter Carl, Brian G. Peterson
Depends:
xts,
- PerformanceAnalytics
+ PerformanceAnalytics,
+ lpSolve
Suggests:
PortfolioAnalytics,
lpSolve
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -31,6 +31,7 @@
#'@param xlim set the xlim value, as in \code{\link{plot}}
#'
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{BenchmarkSR}} \code{\link{chart.SRIndifference}} \code{\link{plot}}
#'@references
#'Bailey, David H. and Lopez de Prado, Marcos, The Strategy Approval Decision:
#'A Sharpe Ratio Indifference Curve Approach (January 2013). Algorithmic Finance,
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -30,6 +30,9 @@
#'@param \dots any other passthru parameters
#'
#'@author Pulkit Mehrotra
+#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CDaR}}
+#'\code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
+
#'@references
#'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model (CAPM)
#' with Drawdown Measure.Research Report 2012-9, ISE Dept., University of Florida, September 2012
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -17,7 +17,8 @@
#' @param p confidence level for calculation, default p=0.95
#' @param \dots any other passthru parameters
#' @author Brian G. Peterson
-#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}}
+#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
+#'\code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
#' @references Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio
#' Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability
#' Management Tools, Risk Books, London, 2003
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -4,20 +4,21 @@
#'@description
#'The drawdown beta is formulated as follows
#'
-#'\deqn{\beta_DD = \frac{{\sum_{t=1}^T}{q_t^\asterisk}{(w_{k^{\asterisk}(t)}-w_t)}}{D_{\alpha}(w^M)}}
+#'\deqn{\beta_DD = \frac{{\sum_{t=1}^T}{q_t^\**}{(w_{k^{\**}(t)}-w_t)}}{D_{\alpha}(w^M)}}
#' here \eqn{\beta_DD} is the drawdown beta of the instrument.
-#'\eqn{k^{\asterisk}(t)\in{argmax_{t_{\tau}{\le}k{\le}t}}w_k^M}
+#'\eqn{k^{\**}(t)\in{argmax_{t_{\tau}{\le}k{\le}t}}w_k^M}
#'
-#'\eqn{q_t^\asterisk=1/((1-\alpha)T)} if \eqn{d_t^M} is one of the
+#'\eqn{q_t^\**=1/((1-\alpha)T)} if \eqn{d_t^M} is one of the
#'\eqn{(1-\alpha)T} largest drawdowns \eqn{d_1^{M} ,......d_t^M} of the
-#'optimal portfolio and \eqn{q_t^\asterisk = 0} otherwise. It is assumed
-#'that \eqn{D_\alpha(w^M) {\neq} 0} and that \eqn{q_t^\asterisk} and
-#'\eqn{k^{\asterisk}(t) are uniquely determined for all \eqn{t = 1....T}
+#'optimal portfolio and \eqn{q_t^\** = 0} otherwise. It is assumed
+#'that \eqn{D_\alpha(w^M) {\neq} 0} and that \eqn{q_t^\**} and
+#'\eqn{k^{\**}(t)} are uniquely determined for all \eqn{t = 1....T}
#'
#'The numerator in \eqn{\beta_DD} is the average rate of return of the
#'instrument over time periods corresponding to the \eqn{(1-\alpha)T} largest
-#'drawdowns of the optimal portfolio, where \eqn{w_t - w_k^{\asterisk}(t)}
-#'is the cumulative rate of return of the instrument from the optimal portfolio#' peak time \eqn{k^\asterisk(t)} to time t.
+#'drawdowns of the optimal portfolio, where \eqn{w_t - w_k^{\**}(t)}
+#'is the cumulative rate of return of the instrument from the optimal portfolio
+#' peak time \eqn{k^\**(t)} to time t.
#'
#'The difference in CDaR and standard betas can be explained by the
#'conceptual difference in beta definitions: the standard beta accounts for
@@ -25,24 +26,34 @@
#'when the market goes up, while CDaR betas focus only on market drawdowns
#'and, thus, are not affected when the market performs well.
#'
-#'@param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
-#'@param Rm Return series of the optimal portfolio an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
+#'@param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#'asset returns
+#'@param Rm Return series of the optimal portfolio an xts, vector, matrix,
+#'data frame, timeSeries or zoo object of asset returns
#'@param p confidence level for calculation ,default(p=0.95)
#'@param weights portfolio weighting vector, default NULL, see Details
-#' @param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
-#' @param type The type of BetaDrawdown if specified alpha then the alpha value given is taken (default 0.95). If "average" then
-#' alpha = 0 and if "max" then alpha = 1 is taken.
+#'@param geometric utilize geometric chaining (TRUE) or simple/arithmetic
+#'chaining (FALSE) to aggregate returns, default TRUE
+#'@param type The type of BetaDrawdown if specified alpha then the alpha
+#'value given is taken (default 0.95). If "average" then alpha = 0 and if
+#'"max" then alpha = 1 is taken.
#'@param \dots any passthru variable.
#'
#'@author Pulkit Mehrotra
+#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
+#'\code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}} \code{\link{CDaR}}
+
+#'
#'@references
+#'
#'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model
#'(CAPM) with Drawdown Measure.Research Report 2012-9, ISE Dept., University
#'of Florida,September 2012.
#'
#'@examples
#'BetaDrawdown(edhec[,1],edhec[,2])
-
+#'
+#'
BetaDrawdown<-function(R,Rm,h=0,p=0.95,weights=NULL,geometric=TRUE,type=c("alpha","average","max"),...){
# DESCRIPTION:
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -30,6 +30,9 @@
#'@param \dots any passthru variable.
#'
#'@author Pulkit Mehrotra
+#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
+#'\code{\link{AlphaDrawdown}} \code{\link{CDaR}} \code{\link{BetaDrawdown}}
+
#'@references
#'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model
#'(CAPM) with Drawdown Measure.Research Report 2012-9, ISE Dept., University
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -26,6 +26,9 @@
#'@param \dots any passthru variable
#'
#'@author Pulkit Mehrotra
+#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
+#'\code{\link{CDaR}} \code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
+
#'@references
#'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model
#'(CAPM) with Drawdown Measure.Research Report 2012-9, ISE Dept., University
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -19,6 +19,9 @@
#'@param h Look back period
#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
#'@param ... any other variable
+#'@author Pulkit Mehrotra
+#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
+#'\code{\link{rollDrawdown}} \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
#'
#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to
#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -19,6 +19,8 @@
#'to aggregate returns, default is TRUE
#'@param \dots any other variable
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{chart.REDD}} \code{\link{EDDCOPS}}
+#'\code{\link{rollDrawdown}} \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to
#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
#'@examples
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/ExtremeDrawdown.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/ExtremeDrawdown.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/ExtremeDrawdown.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -1,7 +1,7 @@
#'@title
#'Modelling Drawdown using Extreme Value Theory
#'
-#"@description
+#'@description
#'It has been shown empirically that Drawdowns can be modelled using Modified Generalized Pareto
#'distribution(MGPD), Generalized Pareto Distribution(GPD) and other particular cases of MGPD such
#'as weibull distribution \eqn{MGPD(\gamma,0,\psi)} and unit exponential distribution\eqn{MGPD(1,0,\psi)}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -40,6 +40,7 @@
#' @param confidence the confidence interval
#' @param type The type of distribution "normal" or "ar"."ar" stands for Autoregressive.
#' @author Pulkit Mehrotra
+#' @seealso \code{\link{chart.Penance}} \code{\link{table.Penance}} \code{\link{TuW}}
#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
#'
#' @examples
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -39,6 +39,7 @@
#'To be given in case the return series is not given.
#'
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{ProbSharpeRatio}} \code{\link{PsrPortfolio}} \code{\link{table.PSR}}
#'@references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio
#'Efficient Frontier} (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter
#' 2012/13
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -23,6 +23,7 @@
#'@param delta The value of delta Z
#'
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{ProbSharpeRatio}} \code{\link{table.PSR}} \code{\link{MinTrackRecord}}
#'@references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio
#'Efficient Frontier} (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter
#'2012/13
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -31,6 +31,7 @@
#' To be given in case the return series is not given.
#' @param n track record length. To be given in case the return series is not given.
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{PsrPortfolio}} \code{\link{table.PSR}} \code{\link{MinTrackRecord}}
#' @references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio
#' Efficient Frontier} (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter
#' 2012/13
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -30,6 +30,8 @@
#'@param ... any other variable
#'
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
+#'\code{\link{rollDrawdown}} \code{\link{EDDCOPS}} \code{\link{rollEconomicMax}}
#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to
#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
#'
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -21,6 +21,8 @@
#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
#'@param ... any other variable
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
+#'\code{\link{rollDrawdown}} \code{\link{REDDCOPS}} \code{\link{EDDCOPS}}
#'@examples
#'rollEconomicMax(edhec,0.08,100)
#'@export
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -39,7 +39,7 @@
#'A Sharpe Ratio Indifference Curve Approach (January 2013). Algorithmic Finance,
#'Vol. 2, No. 1 (2013).
#'
-#'@seealso \code{\link{plot}}
+#'@seealso \code{\link{BenchmarkSR}} \code{\link{chart.BenchmarkSR}} \code{\link{plot}}
#'@keywords ts multivariate distribution models hplot
#'@examples
#'
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -27,6 +27,7 @@
#' @param confidence the confidence interval
#' @param type The type of distribution "normal" or "ar"."ar" stands for Autoregressive.
#' @author Pulkit Mehrotra
+#' @seealso \code{\link{chart.Penance}} \code{\link{MaxDD}} \code{\link{table.Penance}}
#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
#'
#' @examples
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -1,5 +1,8 @@
#'@title
#'Penance vs phi plot
+#'
+#'@description
+#'
#'A plot for Penance vs phi for the given portfolio
#'The relationship between penance and phi is given by
#'
@@ -29,7 +32,7 @@
#'@param xlim set the xlim value, as in \code{\link{plot}}
#'
#'@author Pulkit Mehrotra
-#'@seealso \code{\link{plot}}
+#'@seealso \code{\link{plot}} \code{\link{table.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
#'@keywords ts multivariate distribution models hplot
#'@examples
#'chart.Penance(edhec,0.95)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -13,6 +13,8 @@
#'@param colorset set the colorset label, as in \code{\link{plot}}
#'@param \dots any other variable
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{plot}} \code{\link{EconomicDrawdown}} \code{\link{EDDCOPS}}
+#'\code{\link{rollDrawdown}} \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to
#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
#'@examples
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/redd.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -20,6 +20,8 @@
#'to aggregate returns, default is TRUE
#'@param \dots any other variable
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
+#'\code{\link{EDDCOPS}} \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to
#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
#'@examples
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -14,6 +14,7 @@
#'@param weights the weights for the portfolio
#'
#'@author Pulkit Mehrotra
+#'@seealso \code{\link{ProbSharpeRatio}} \code{\link{PsrPortfolio}} \code{\link{MinTrackRecord}}
#'@references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio
#'Efficient Frontier} (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter
#' 2012/13
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R 2013-08-19 14:44:14 UTC (rev 2827)
@@ -10,6 +10,7 @@
#' @param confidence the confidence interval
#'
#' @author Pulkit Mehrotra
+#' @seealso \code{\link{chart.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
#' @export
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -55,10 +55,19 @@
AlphaDrawdown(edhec[,1],edhec[,2],type="average") # expected value : 1.692592
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital
Asset Pricing Model (CAPM) with Drawdown Measure.Research
Report 2012-9, ISE Dept., University of Florida,September
2012.
}
+\seealso{
+ \code{\link{ES}} \code{\link{maxDrawdown}}
+ \code{\link{CdarMultiPath}} \code{\link{CDaR}}
+ \code{\link{MultiBetaDrawdown}}
+ \code{\link{BetaDrawdown}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -25,6 +25,9 @@
data(edhec)
BenchmarkSR(edhec) #expected 0.393797
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos, The Strategy
Approval Decision: A Sharpe Ratio Indifference Curve
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -35,26 +35,24 @@
The drawdown beta is formulated as follows
\deqn{\beta_DD =
- \frac{{\sum_{t=1}^T}{q_t^\asterisk}{(w_{k^{\asterisk}(t)}-w_t)}}{D_{\alpha}(w^M)}}
+ \frac{{\sum_{t=1}^T}{q_t^\**}{(w_{k^{\**}(t)}-w_t)}}{D_{\alpha}(w^M)}}
here \eqn{\beta_DD} is the drawdown beta of the
instrument.
- \eqn{k^{\asterisk}(t)\in{argmax_{t_{\tau}{\le}k{\le}t}}w_k^M}
+ \eqn{k^{\**}(t)\in{argmax_{t_{\tau}{\le}k{\le}t}}w_k^M}
- \eqn{q_t^\asterisk=1/((1-\alpha)T)} if \eqn{d_t^M} is one
- of the \eqn{(1-\alpha)T} largest drawdowns \eqn{d_1^{M}
- ,......d_t^M} of the optimal portfolio and
- \eqn{q_t^\asterisk = 0} otherwise. It is assumed that
- \eqn{D_\alpha(w^M) {\neq} 0} and that \eqn{q_t^\asterisk}
- and \eqn{k^{\asterisk}(t) are uniquely determined for all
- \eqn{t = 1....T}
+ \eqn{q_t^\**=1/((1-\alpha)T)} if \eqn{d_t^M} is one of
+ the \eqn{(1-\alpha)T} largest drawdowns \eqn{d_1^{M}
+ ,......d_t^M} of the optimal portfolio and \eqn{q_t^\** =
+ 0} otherwise. It is assumed that \eqn{D_\alpha(w^M)
+ {\neq} 0} and that \eqn{q_t^\**} and \eqn{k^{\**}(t)} are
+ uniquely determined for all \eqn{t = 1....T}
The numerator in \eqn{\beta_DD} is the average rate of
return of the instrument over time periods corresponding
to the \eqn{(1-\alpha)T} largest drawdowns of the optimal
- portfolio, where \eqn{w_t - w_k^{\asterisk}(t)} is the
+ portfolio, where \eqn{w_t - w_k^{\**}(t)} is the
cumulative rate of return of the instrument from the
- optimal portfolio#' peak time \eqn{k^\asterisk(t)} to
- time t.
+ optimal portfolio peak time \eqn{k^\**(t)} to time t.
The difference in CDaR and standard betas can be
explained by the conceptual difference in beta
@@ -67,10 +65,18 @@
\examples{
BetaDrawdown(edhec[,1],edhec[,2])
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital
Asset Pricing Model (CAPM) with Drawdown Measure.Research
Report 2012-9, ISE Dept., University of Florida,September
2012.
}
+\seealso{
+ \code{\link{ES}} \code{\link{maxDrawdown}}
+ \code{\link{CdarMultiPath}} \code{\link{AlphaDrawdown}}
+ \code{\link{MultiBetaDrawdown}} \code{\link{CDaR}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -54,10 +54,19 @@
\eqn{\alpha} = 0, \eqn{D_\alpha(w)} is the average
drawdown
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital
Asset Pricing Model (CAPM) with Drawdown Measure.Research
Report 2012-9, ISE Dept., University of Florida,
September 2012
}
+\seealso{
+ \code{\link{ES}} \code{\link{maxDrawdown}}
+ \code{\link{CDaR}} \code{\link{AlphaDrawdown}}
+ \code{\link{MultiBetaDrawdown}}
+ \code{\link{BetaDrawdown}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -45,9 +45,17 @@
data(edhec)
EDDCOPS(edhec,delta = 0.1,gamma = 0.7,Rf = 0)
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Yang, Z. George and Zhong, Liang, Optimal Portfolio
Strategy to Control Maximum Drawdown - The Case of Risk
Based Dynamic Asset Allocation (February 25, 2012)
}
+\seealso{
+ \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
+ \code{\link{rollDrawdown}} \code{\link{REDDCOPS}}
+ \code{\link{rollEconomicMax}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -34,9 +34,17 @@
\examples{
EconomicDrawdown(edhec,0.08,100)
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Yang, Z. George and Zhong, Liang, Optimal Portfolio
Strategy to Control Maximum Drawdown - The Case of Risk
Based Dynamic Asset Allocation (February 25, 2012)
}
+\seealso{
+ \code{\link{chart.REDD}} \code{\link{EDDCOPS}}
+ \code{\link{rollDrawdown}} \code{\link{REDDCOPS}}
+ \code{\link{rollEconomicMax}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -65,9 +65,16 @@
MaxDD(edhec,0.95,"ar")
MaxDD(edhec[,1],0.95,"normal") #expected values 4.241799 6.618966
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
Drawdown-Based Stop-Outs and the ‘Triple Penance’
Rule(January 1, 2013).
}
+\seealso{
+ \code{\link{chart.Penance}} \code{\link{table.Penance}}
+ \code{\link{TuW}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -68,11 +68,18 @@
MinTrackRecord(refSR = 1/12^0.5,Rf = 0,p=0.95,sr = 2/12^0.5,sk=-0.72,kr=5.78)
MinTrackRecord(edhec[,1:2],refSR = c(0.28,0.24))
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos, \emph{The
Sharpe Ratio Efficient Frontier} (July 1, 2012). Journal
of Risk, Vol. 15, No. 2, Winter 2012/13
}
+\seealso{
+ \code{\link{ProbSharpeRatio}} \code{\link{PsrPortfolio}}
+ \code{\link{table.PSR}}
+}
\keyword{distribution}
\keyword{models}
\keyword{multivariate}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -38,6 +38,9 @@
\examples{
MonteSimulTriplePenance(10^6,0.5,1,2,1,25,0.95) # Expected Value Quantile (Exact) = 6.781592
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
Drawdown-Based Stop-Outs and the ‘Triple Penance’
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -60,10 +60,18 @@
MultiBetaDrawdown(cbind(edhec,edhec),cbind(edhec[,2],edhec[,2]),sample = 2,ps=c(0.4,0.6))
BetaDrawdown(edhec[,1],edhec[,2]) #expected value 0.5390431
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital
Asset Pricing Model (CAPM) with Drawdown Measure.Research
Report 2012-9, ISE Dept., University of Florida,September
2012.
}
+\seealso{
+ \code{\link{ES}} \code{\link{maxDrawdown}}
+ \code{\link{CdarMultiPath}} \code{\link{AlphaDrawdown}}
+ \code{\link{CDaR}} \code{\link{BetaDrawdown}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -60,11 +60,18 @@
ProbSharpeRatio(refSR = 1/12^0.5,Rf = 0,p=0.95,sr = 2/12^0.5,sk=-0.72,kr=5.78,n=59)
ProbSharpeRatio(edhec[,1:2],refSR = c(0.28,0.24))
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos, \emph{The
Sharpe Ratio Efficient Frontier} (July 1, 2012). Journal
of Risk, Vol. 15, No. 2, Winter 2012/13
}
+\seealso{
+ \code{\link{PsrPortfolio}} \code{\link{table.PSR}}
+ \code{\link{MinTrackRecord}}
+}
\keyword{distribution}
\keyword{models}
\keyword{multivariate}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/PsrPortfolio.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/PsrPortfolio.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/PsrPortfolio.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -45,11 +45,18 @@
data(edhec)
PsrPortfolio(edhec)
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos, \emph{The
Sharpe Ratio Efficient Frontier} (July 1, 2012). Journal
of Risk, Vol. 15, No. 2, Winter 2012/13
}
+\seealso{
+ \code{\link{ProbSharpeRatio}} \code{\link{table.PSR}}
+ \code{\link{MinTrackRecord}}
+}
\keyword{distribution}
\keyword{models}
\keyword{multivariate}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -71,9 +71,17 @@
data(managers)
REDDCOPS(managers[,1],0.80, Rf = managers[,10,drop=FALSE],12,asset="one")
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Yang, Z. George and Zhong, Liang, Optimal Portfolio
Strategy to Control Maximum Drawdown - The Case of Risk
Based Dynamic Asset Allocation (February 25, 2012)
}
+\seealso{
+ \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
+ \code{\link{rollDrawdown}} \code{\link{EDDCOPS}}
+ \code{\link{rollEconomicMax}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd 2013-08-19 13:08:10 UTC (rev 2826)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd 2013-08-19 14:44:14 UTC (rev 2827)
@@ -47,9 +47,16 @@
TuW(edhec,0.95,"ar")
TuW(edhec[,1],0.95,"normal") # expected value 103.2573
}
+\author{
+ Pulkit Mehrotra
+}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
Drawdown-Based Stop-Outs and the ‘Triple Penance’
Rule(January 1, 2013).
}
+\seealso{
+ \code{\link{chart.Penance}} \code{\link{MaxDD}}
+ \code{\link{table.Penance}}
+}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-08-19 13:08:10 UTC (rev 2826)
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 2827
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