[Returnanalytics-commits] r2907 - in pkg/PortfolioAnalytics: R man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Aug 27 21:56:32 CEST 2013
Author: rossbennett34
Date: 2013-08-27 21:56:32 +0200 (Tue, 27 Aug 2013)
New Revision: 2907
Modified:
pkg/PortfolioAnalytics/R/charts.DE.R
pkg/PortfolioAnalytics/R/charts.GenSA.R
pkg/PortfolioAnalytics/R/charts.PSO.R
pkg/PortfolioAnalytics/R/charts.ROI.R
pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
pkg/PortfolioAnalytics/R/constraints.R
pkg/PortfolioAnalytics/R/extractstats.R
pkg/PortfolioAnalytics/R/random_portfolios.R
pkg/PortfolioAnalytics/man/add.constraint.Rd
pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.rebalancing.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.DEoptim.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.GenSA.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.ROI.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd
pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd
pkg/PortfolioAnalytics/man/return_constraint.Rd
pkg/PortfolioAnalytics/vignettes/portfolio_vignette.Rnw
Log:
Cleaning up documentation and generic methods
Modified: pkg/PortfolioAnalytics/R/charts.DE.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.DE.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/charts.DE.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -338,11 +338,14 @@
#' \code{risk.col},\code{return.col}, and weights columns all properly named.
#' @param x set of portfolios created by \code{\link{optimize.portfolio}}
#' @param ... any other passthru parameters
+#' @param return.col string name of column to use for returns (vertical axis)
#' @param risk.col string name of column to use for risk (horizontal axis)
-#' @param return.col string name of column to use for returns (vertical axis)
+#' @param chart.assets TRUE/FALSE to include risk-return scatter of assets
#' @param neighbors set of 'neighbor portfolios to overplot
#' @param main an overall title for the plot: see \code{\link{title}}
+#' @param xlim set the limit on coordinates for the x-axis
+#' @param ylim set the limit on coordinates for the y-axis
#' @export
-plot.optimize.portfolio.DEoptim <- function(x, ..., return.col='mean', risk.col='ES', chart.assets=FALSE, neighbors=NULL, xlim=NULL, ylim=NULL, main='optimized portfolio plot') {
+plot.optimize.portfolio.DEoptim <- function(x, ..., return.col='mean', risk.col='ES', chart.assets=FALSE, neighbors=NULL, main='optimized portfolio plot', xlim=NULL, ylim=NULL) {
charts.DE(DE=x, risk.col=risk.col, return.col=return.col, chart.assets=chart.assets, neighbors=neighbors, main=main, xlim=xlim, ylim=ylim, ...)
}
Modified: pkg/PortfolioAnalytics/R/charts.GenSA.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.GenSA.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/charts.GenSA.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -170,18 +170,21 @@
#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
#'
-#' @param GenSA object created by \code{\link{optimize.portfolio}}
+#' @param x object created by \code{\link{optimize.portfolio}}
+#' @param ... any other passthru parameters
#' @param rp set of weights generated by \code{\link{random_portfolio}}
#' @param return.col string matching the objective of a 'return' objective, on vertical axis
#' @param risk.col string matching the objective of a 'risk' objective, on horizontal axis
-#' @param ... any other passthru parameters
+#' @param chart.assets TRUE/FALSE to include risk-return scatter of assets
#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
#' @param element.color color for the default plot scatter points
-#' @param neighbors set of 'neighbor' portfolios to overplot
+#' @param neighbors set of 'neighbor' portfolios to overplot
#' @param main an overall title for the plot: see \code{\link{title}}
+#' @param xlim set the limit on coordinates for the x-axis
+#' @param ylim set the limit on coordinates for the y-axis
#' @seealso \code{\link{optimize.portfolio}}
#' @author Ross Bennett
#' @export
-plot.optimize.portfolio.GenSA <- function(GenSA, rp=FALSE, return.col="mean", risk.col="ES", chart.assets=FALSE, cex.axis=0.8, element.color="darkgray", neighbors=NULL, main="GenSA.Portfolios", xlim=NULL, ylim=NULL, ...){
- charts.GenSA(GenSA=GenSA, rp=rp, return.col=return.col, risk.col=risk.col, chart.assets=chart.assets, cex.axis=cex.axis, element.color=element.color, neighbors=neighbors, main=main, xlim=xlim, ylim=ylim, ...=...)
+plot.optimize.portfolio.GenSA <- function(x, ..., rp=FALSE, return.col="mean", risk.col="ES", chart.assets=FALSE, cex.axis=0.8, element.color="darkgray", neighbors=NULL, main="GenSA.Portfolios", xlim=NULL, ylim=NULL){
+ charts.GenSA(GenSA=x, rp=rp, return.col=return.col, risk.col=risk.col, chart.assets=chart.assets, cex.axis=cex.axis, element.color=element.color, neighbors=neighbors, main=main, xlim=xlim, ylim=ylim, ...=...)
}
Modified: pkg/PortfolioAnalytics/R/charts.PSO.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.PSO.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/charts.PSO.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -228,16 +228,19 @@
#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
#'
#' @param pso object created by \code{\link{optimize.portfolio}}
+#' @param ... any other passthru parameters
#' @param return.col string matching the objective of a 'return' objective, on vertical axis
#' @param risk.col string matching the objective of a 'risk' objective, on horizontal axis
-#' @param ... any other passthru parameters
+#' @param chart.assets TRUE/FALSE to include risk-return scatter of assets
#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
#' @param element.color color for the default plot scatter points
-#' @param neighbors set of 'neighbor' portfolios to overplot
+#' @param neighbors set of 'neighbor' portfolios to overplot
#' @param main an overall title for the plot: see \code{\link{title}}
+#' @param xlim set the limit on coordinates for the x-axis
+#' @param ylim set the limit on coordinates for the y-axis
#' @seealso \code{\link{optimize.portfolio}}
#' @author Ross Bennett
#' @export
-plot.optimize.portfolio.pso <- function(pso, return.col="mean", risk.col="ES", chart.assets=FALSE, cex.axis=0.8, element.color="darkgray", neighbors=NULL, main="PSO.Portfolios", xlim=NULL, ylim=NULL, ...){
- charts.pso(pso=pso, return.col=return.col, risk.col=risk.col, chart.assets=FALSE, cex.axis=cex.axis, element.color=element.color, neighbors=neighbors, main=main, xlim=xlim, ylim=ylim, ...=...)
+plot.optimize.portfolio.pso <- function(x, ..., return.col="mean", risk.col="ES", chart.assets=FALSE, cex.axis=0.8, element.color="darkgray", neighbors=NULL, main="PSO.Portfolios", xlim=NULL, ylim=NULL){
+ charts.pso(pso=x, return.col=return.col, risk.col=risk.col, chart.assets=FALSE, cex.axis=cex.axis, element.color=element.color, neighbors=neighbors, main=main, xlim=xlim, ylim=ylim, ...=...)
}
Modified: pkg/PortfolioAnalytics/R/charts.ROI.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.ROI.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/charts.ROI.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -177,18 +177,21 @@
#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
#'
-#' @param ROI object created by \code{\link{optimize.portfolio}}
+#' @param x object created by \code{\link{optimize.portfolio}}
+#' @param ... any other passthru parameters
#' @param rp set of weights generated by \code{\link{random_portfolio}}
#' @param risk.col string matching the objective of a 'risk' objective, on horizontal axis
#' @param return.col string matching the objective of a 'return' objective, on vertical axis
-#' @param ... any other passthru parameters
+#' @param chart.assets TRUE/FALSE to include risk-return scatter of assets
#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
#' @param element.color color for the default plot scatter points
-#' @param neighbors set of 'neighbor' portfolios to overplot
+#' @param neighbors set of 'neighbor' portfolios to overplot
#' @param main an overall title for the plot: see \code{\link{title}}
+#' @param xlim set the limit on coordinates for the x-axis
+#' @param ylim set the limit on coordinates for the y-axis
#' @seealso \code{\link{optimize.portfolio}}
#' @author Ross Bennett
#' @export
-plot.optimize.portfolio.ROI <- function(ROI, rp=FALSE, risk.col="ES", return.col="mean", chart.assets=chart.assets, element.color="darkgray", neighbors=NULL, main="ROI.Portfolios", xlim=NULL, ylim=NULL, ...){
- charts.ROI(ROI=ROI, rp=rp, risk.col=risk.col, return.col=return.col, chart.assets=chart.assets, main=main, xlim=xlim, ylim=ylim, ...)
+plot.optimize.portfolio.ROI <- function(x, ..., rp=FALSE, risk.col="ES", return.col="mean", chart.assets=FALSE, element.color="darkgray", neighbors=NULL, main="ROI.Portfolios", xlim=NULL, ylim=NULL){
+ charts.ROI(ROI=x, rp=rp, risk.col=risk.col, return.col=return.col, chart.assets=chart.assets, main=main, xlim=xlim, ylim=ylim, ...)
}
Modified: pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.efficient.frontier.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/charts.efficient.frontier.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -47,6 +47,7 @@
#' @param rf risk free rate. If \code{rf} is not null, the maximum Sharpe Ratio or modified Sharpe Ratio tangency portfolio will be plotted
#' @param cex.legend A numerical value giving the amount by which the legend should be magnified relative to the default.
#' @param RAR.text Risk Adjusted Return ratio text to plot in the legend
+#' @param chart.assets TRUE/FALSE to include risk-return scatter of assets
#' @author Ross Bennett
#' @export
chart.EfficientFrontier <- function(object, match.col="ES", n.portfolios=25, xlim=NULL, ylim=NULL, cex.axis=0.8, element.color="darkgray", main="Efficient Frontier", ...){
@@ -356,7 +357,7 @@
#' @rdname chart.EfficientFrontier
#' @export
-chart.EfficientFrontier.efficient.frontier <- function(object, chart.assets=TRUE, match.col="ES", n.portfolios=NULL, xlim=NULL, ylim=NULL, cex.axis=0.8, element.color="darkgray", main="Efficient Frontier", ..., RAR.text="Modified Sharpe", rf=0, cex.legend=0.8){
+chart.EfficientFrontier.efficient.frontier <- function(object, match.col="ES", n.portfolios=NULL, xlim=NULL, ylim=NULL, cex.axis=0.8, element.color="darkgray", main="Efficient Frontier", ..., RAR.text="Modified Sharpe", rf=0, chart.assets=TRUE, cex.legend=0.8){
if(!inherits(object, "efficient.frontier")) stop("object must be of class 'efficient.frontier'")
# get the returns and efficient frontier object
Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/constraints.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -236,7 +236,7 @@
#' # Add box constraints
#' pspec <- add.constraint(portfolio=pspec, type="box", min=0.05, max=0.4)
#'
-#' min and max can also be specified per asset
+#' # min and max can also be specified per asset
#' pspec <- add.constraint(portfolio=pspec, type="box", min=c(0.05, 0, 0.08, 0.1), max=c(0.4, 0.3, 0.7, 0.55))
#' # A special case of box constraints is long only where min=0 and max=1
#' # The default action is long only if min and max are not specified
@@ -244,7 +244,7 @@
#' pspec <- add.constraint(portfolio=pspec, type="long_only")
#'
#' # Add group constraints
-#' pspec <- add.constraint(portfolio=pspec, type="group", groups=c(3, 1), group_min=c(0.1, 0.15), group_max=c(0.85, 0.55), group_labels=c("GroupA", "GroupB"), group_pos=c(2, 1))
+#' pspec <- add.constraint(portfolio=pspec, type="group", groups=list(c(1, 2, 1), 4), group_min=c(0.1, 0.15), group_max=c(0.85, 0.55), group_labels=c("GroupA", "GroupB"), group_pos=c(2, 1))
#'
#' # Add position limit constraint such that we have a maximum number of three assets with non-zero weights.
#' pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3)
@@ -820,7 +820,7 @@
#'
#' pspec <- portfolio.spec(assets=colnames(ret))
#'
-#' pspec <- add.constraint(portfolio=pspec, type="return", div_target=mean(colMeans(ret)))
+#' pspec <- add.constraint(portfolio=pspec, type="return", return_target=mean(colMeans(ret)))
#' @export
return_constraint <- function(type="return", return_target, enabled=TRUE, message=FALSE, ...){
Constraint <- constraint_v2(type, enabled=enabled, constrclass="return_constraint", ...)
Modified: pkg/PortfolioAnalytics/R/extractstats.R
===================================================================
--- pkg/PortfolioAnalytics/R/extractstats.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/extractstats.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -173,12 +173,13 @@
#' extract weights from output of optimize.portfolio
#'
-#' @param object object of type optimize.portfolio to extract weights from
+#' @param object object of class \code{optimize.portfolio} to extract weights from
+#' @param ... passthrough parameters. Not currently used
#' @seealso
#' \code{\link{optimize.portfolio}}
#' @author Ross Bennett
#' @export
-extractWeights.optimize.portfolio <- function(object){
+extractWeights.optimize.portfolio <- function(object, ...){
if(!inherits(object, "optimize.portfolio")){
stop("object must be of class 'optimize.portfolio'")
}
@@ -192,28 +193,28 @@
#'
#' The output list is indexed by the dates of the rebalancing periods, as determined by \code{endpoints}
#'
-#' @param RebalResults object of type optimize.portfolio.rebalancing to extract weights from
+#' @param object object of class \code{optimize.portfolio.rebalancing} to extract weights from
#' @param ... any other passthru parameters
#' @seealso
#' \code{\link{optimize.portfolio.rebalancing}}
#' @export
-extractWeights.optimize.portfolio.rebalancing <- function(RebalResults, ...){
+extractWeights.optimize.portfolio.rebalancing <- function(object, ...){
# @TODO: add a class check for the input object
# FIXED
- if(!inherits(RebalResults, "optimize.portfolio.rebalancing")){
+ if(!inherits(object, "optimize.portfolio.rebalancing")){
stop("Object passed in must be of class 'optimize.portfolio.rebalancing'")
}
- numColumns = length(RebalResults[[1]]$weights)
- numRows = length(RebalResults)
+ numColumns = length(object[[1]]$weights)
+ numRows = length(object)
result <- matrix(nrow=numRows, ncol=numColumns)
for(i in 1:numRows)
- result[i,] = unlist(RebalResults[[i]]$weights)
+ result[i,] = unlist(object[[i]]$weights)
- colnames(result) = names(unlist(RebalResults[[1]]$weights))
- rownames(result) = names(RebalResults)
+ colnames(result) = names(unlist(object[[1]]$weights))
+ rownames(result) = names(object)
result = as.xts(result)
return(result)
}
Modified: pkg/PortfolioAnalytics/R/random_portfolios.R
===================================================================
--- pkg/PortfolioAnalytics/R/random_portfolios.R 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/R/random_portfolios.R 2013-08-27 19:56:32 UTC (rev 2907)
@@ -171,7 +171,7 @@
#' @export
#' @examples
#' rpconstraint<-constraint(assets=10, min_mult=-Inf, max_mult=Inf, min_sum=.99, max_sum=1.01, min=.01, max=.4, weight_seq=generatesequence())
-#' rp<- random_portfolios(rpconstraints=rpconstraint,permutations=1000)
+#' rp<- random_portfolios_v1(rpconstraints=rpconstraint,permutations=1000)
#' head(rp)
random_portfolios_v1 <- function (rpconstraints,permutations=100,...)
{ #
Modified: pkg/PortfolioAnalytics/man/add.constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/add.constraint.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/add.constraint.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -81,7 +81,7 @@
# Add box constraints
pspec <- add.constraint(portfolio=pspec, type="box", min=0.05, max=0.4)
-min and max can also be specified per asset
+# min and max can also be specified per asset
pspec <- add.constraint(portfolio=pspec, type="box", min=c(0.05, 0, 0.08, 0.1), max=c(0.4, 0.3, 0.7, 0.55))
# A special case of box constraints is long only where min=0 and max=1
# The default action is long only if min and max are not specified
@@ -89,7 +89,7 @@
pspec <- add.constraint(portfolio=pspec, type="long_only")
# Add group constraints
-pspec <- add.constraint(portfolio=pspec, type="group", groups=c(3, 1), group_min=c(0.1, 0.15), group_max=c(0.85, 0.55), group_labels=c("GroupA", "GroupB"), group_pos=c(2, 1))
+pspec <- add.constraint(portfolio=pspec, type="group", groups=list(c(1, 2, 1), 4), group_min=c(0.1, 0.15), group_max=c(0.85, 0.55), group_labels=c("GroupA", "GroupB"), group_pos=c(2, 1))
# Add position limit constraint such that we have a maximum number of three assets with non-zero weights.
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3)
Modified: pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -25,11 +25,12 @@
RAR.text = "Modified Sharpe", rf = 0, cex.legend = 0.8)
chart.EfficientFrontier.efficient.frontier(object,
- chart.assets = TRUE, match.col = "ES",
- n.portfolios = NULL, xlim = NULL, ylim = NULL,
- cex.axis = 0.8, element.color = "darkgray",
+ match.col = "ES", n.portfolios = NULL, xlim = NULL,
+ ylim = NULL, cex.axis = 0.8,
+ element.color = "darkgray",
main = "Efficient Frontier", ...,
- RAR.text = "Modified Sharpe", rf = 0, cex.legend = 0.8)
+ RAR.text = "Modified Sharpe", rf = 0,
+ chart.assets = TRUE, cex.legend = 0.8)
}
\arguments{
\item{object}{optimal portfolio created by
@@ -72,6 +73,9 @@
\item{RAR.text}{Risk Adjusted Return ratio text to plot
in the legend}
+
+ \item{chart.assets}{TRUE/FALSE to include risk-return
+ scatter of assets}
}
\description{
This function charts the efficient frontier and
Modified: pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -2,11 +2,13 @@
\alias{extractWeights.optimize.portfolio}
\title{extract weights from output of optimize.portfolio}
\usage{
- extractWeights.optimize.portfolio(object)
+ extractWeights.optimize.portfolio(object, ...)
}
\arguments{
- \item{object}{object of type optimize.portfolio to
- extract weights from}
+ \item{object}{object of class \code{optimize.portfolio}
+ to extract weights from}
+
+ \item{...}{passthrough parameters. Not currently used}
}
\description{
extract weights from output of optimize.portfolio
Modified: pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.rebalancing.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.rebalancing.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/extractWeights.optimize.portfolio.rebalancing.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -2,12 +2,13 @@
\alias{extractWeights.optimize.portfolio.rebalancing}
\title{extract time series of weights from output of optimize.portfolio.rebalancing}
\usage{
- extractWeights.optimize.portfolio.rebalancing(RebalResults,
+ extractWeights.optimize.portfolio.rebalancing(object,
...)
}
\arguments{
- \item{RebalResults}{object of type
- optimize.portfolio.rebalancing to extract weights from}
+ \item{object}{object of class
+ \code{optimize.portfolio.rebalancing} to extract weights
+ from}
\item{...}{any other passthru parameters}
}
Modified: pkg/PortfolioAnalytics/man/plot.optimize.portfolio.DEoptim.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/plot.optimize.portfolio.DEoptim.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/plot.optimize.portfolio.DEoptim.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -4,8 +4,9 @@
\usage{
plot.optimize.portfolio.DEoptim(x, ...,
return.col = "mean", risk.col = "ES",
- chart.assets = FALSE, neighbors = NULL, xlim = NULL,
- ylim = NULL, main = "optimized portfolio plot")
+ chart.assets = FALSE, neighbors = NULL,
+ main = "optimized portfolio plot", xlim = NULL,
+ ylim = NULL)
}
\arguments{
\item{x}{set of portfolios created by
@@ -13,16 +14,23 @@
\item{...}{any other passthru parameters}
+ \item{return.col}{string name of column to use for
+ returns (vertical axis)}
+
\item{risk.col}{string name of column to use for risk
(horizontal axis)}
- \item{return.col}{string name of column to use for
- returns (vertical axis)}
+ \item{chart.assets}{TRUE/FALSE to include risk-return
+ scatter of assets}
\item{neighbors}{set of 'neighbor portfolios to overplot}
\item{main}{an overall title for the plot: see
\code{\link{title}}}
+
+ \item{xlim}{set the limit on coordinates for the x-axis}
+
+ \item{ylim}{set the limit on coordinates for the y-axis}
}
\description{
scatter and weights chart for DEoptim portfolio
Modified: pkg/PortfolioAnalytics/man/plot.optimize.portfolio.GenSA.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/plot.optimize.portfolio.GenSA.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/plot.optimize.portfolio.GenSA.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -2,17 +2,18 @@
\alias{plot.optimize.portfolio.GenSA}
\title{scatter and weights chart for portfolios}
\usage{
- plot.optimize.portfolio.GenSA(GenSA, rp = FALSE,
+ plot.optimize.portfolio.GenSA(x, ..., rp = FALSE,
return.col = "mean", risk.col = "ES",
chart.assets = FALSE, cex.axis = 0.8,
element.color = "darkgray", neighbors = NULL,
- main = "GenSA.Portfolios", xlim = NULL, ylim = NULL,
- ...)
+ main = "GenSA.Portfolios", xlim = NULL, ylim = NULL)
}
\arguments{
- \item{GenSA}{object created by
+ \item{x}{object created by
\code{\link{optimize.portfolio}}}
+ \item{...}{any other passthru parameters}
+
\item{rp}{set of weights generated by
\code{\link{random_portfolio}}}
@@ -22,7 +23,8 @@
\item{risk.col}{string matching the objective of a 'risk'
objective, on horizontal axis}
- \item{...}{any other passthru parameters}
+ \item{chart.assets}{TRUE/FALSE to include risk-return
+ scatter of assets}
\item{cex.axis}{The magnification to be used for axis
annotation relative to the current setting of \code{cex}}
@@ -35,6 +37,10 @@
\item{main}{an overall title for the plot: see
\code{\link{title}}}
+
+ \item{xlim}{set the limit on coordinates for the x-axis}
+
+ \item{ylim}{set the limit on coordinates for the y-axis}
}
\description{
\code{return.col} must be the name of a function used to
Modified: pkg/PortfolioAnalytics/man/plot.optimize.portfolio.ROI.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/plot.optimize.portfolio.ROI.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/plot.optimize.portfolio.ROI.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -2,16 +2,18 @@
\alias{plot.optimize.portfolio.ROI}
\title{scatter and weights chart for portfolios}
\usage{
- plot.optimize.portfolio.ROI(ROI, rp = FALSE,
+ plot.optimize.portfolio.ROI(x, ..., rp = FALSE,
risk.col = "ES", return.col = "mean",
- chart.assets = chart.assets,
- element.color = "darkgray", neighbors = NULL,
- main = "ROI.Portfolios", xlim = NULL, ylim = NULL, ...)
+ chart.assets = FALSE, element.color = "darkgray",
+ neighbors = NULL, main = "ROI.Portfolios", xlim = NULL,
+ ylim = NULL)
}
\arguments{
- \item{ROI}{object created by
+ \item{x}{object created by
\code{\link{optimize.portfolio}}}
+ \item{...}{any other passthru parameters}
+
\item{rp}{set of weights generated by
\code{\link{random_portfolio}}}
@@ -21,7 +23,8 @@
\item{return.col}{string matching the objective of a
'return' objective, on vertical axis}
- \item{...}{any other passthru parameters}
+ \item{chart.assets}{TRUE/FALSE to include risk-return
+ scatter of assets}
\item{cex.axis}{The magnification to be used for axis
annotation relative to the current setting of \code{cex}}
@@ -34,6 +37,10 @@
\item{main}{an overall title for the plot: see
\code{\link{title}}}
+
+ \item{xlim}{set the limit on coordinates for the x-axis}
+
+ \item{ylim}{set the limit on coordinates for the y-axis}
}
\description{
The ROI optimizers do not store the portfolio weights
Modified: pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -2,22 +2,25 @@
\alias{plot.optimize.portfolio.pso}
\title{scatter and weights chart for portfolios}
\usage{
- plot.optimize.portfolio.pso(pso, return.col = "mean",
+ plot.optimize.portfolio.pso(x, ..., return.col = "mean",
risk.col = "ES", chart.assets = FALSE, cex.axis = 0.8,
element.color = "darkgray", neighbors = NULL,
- main = "PSO.Portfolios", xlim = NULL, ylim = NULL, ...)
+ main = "PSO.Portfolios", xlim = NULL, ylim = NULL)
}
\arguments{
\item{pso}{object created by
\code{\link{optimize.portfolio}}}
+ \item{...}{any other passthru parameters}
+
\item{return.col}{string matching the objective of a
'return' objective, on vertical axis}
\item{risk.col}{string matching the objective of a 'risk'
objective, on horizontal axis}
- \item{...}{any other passthru parameters}
+ \item{chart.assets}{TRUE/FALSE to include risk-return
+ scatter of assets}
\item{cex.axis}{The magnification to be used for axis
annotation relative to the current setting of \code{cex}}
@@ -30,6 +33,10 @@
\item{main}{an overall title for the plot: see
\code{\link{title}}}
+
+ \item{xlim}{set the limit on coordinates for the x-axis}
+
+ \item{ylim}{set the limit on coordinates for the y-axis}
}
\description{
\code{return.col} must be the name of a function used to
Modified: pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -25,7 +25,7 @@
}
\examples{
rpconstraint<-constraint(assets=10, min_mult=-Inf, max_mult=Inf, min_sum=.99, max_sum=1.01, min=.01, max=.4, weight_seq=generatesequence())
-rp<- random_portfolios(rpconstraints=rpconstraint,permutations=1000)
+rp<- random_portfolios_v1(rpconstraints=rpconstraint,permutations=1000)
head(rp)
}
\author{
Modified: pkg/PortfolioAnalytics/man/return_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/return_constraint.Rd 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/man/return_constraint.Rd 2013-08-27 19:56:32 UTC (rev 2907)
@@ -28,7 +28,7 @@
pspec <- portfolio.spec(assets=colnames(ret))
-pspec <- add.constraint(portfolio=pspec, type="return", div_target=mean(colMeans(ret)))
+pspec <- add.constraint(portfolio=pspec, type="return", return_target=mean(colMeans(ret)))
}
\author{
Ross Bennett
Modified: pkg/PortfolioAnalytics/vignettes/portfolio_vignette.Rnw
===================================================================
--- pkg/PortfolioAnalytics/vignettes/portfolio_vignette.Rnw 2013-08-27 18:29:05 UTC (rev 2906)
+++ pkg/PortfolioAnalytics/vignettes/portfolio_vignette.Rnw 2013-08-27 19:56:32 UTC (rev 2907)
@@ -156,7 +156,9 @@
box_constr <- box_constraint(assets=pspec$assets, min=0, max=1)
# group constraint
-group_constr <- group_constraint(assets=pspec$assets, groups=c(3, 1),
+group_constr <- group_constraint(assets=pspec$assets,
+ groups=list(c(1, 2, 3),
+ 4),
group_min=c(0.1, 0.15),
group_max=c(0.85, 0.55),
group_labels=c("GroupA", "GroupB"))
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