[Returnanalytics-commits] r2939 - in pkg/PerformanceAnalytics/sandbox/pulkit: R man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Aug 30 10:01:57 CEST 2013
Author: pulkit
Date: 2013-08-30 10:01:57 +0200 (Fri, 30 Aug 2013)
New Revision: 2939
Modified:
pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw
Log:
latex changes
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R 2013-08-30 08:01:57 UTC (rev 2939)
@@ -5,7 +5,6 @@
#'The Economic Drawdown Controlled Optimal Portfolio Strategy(EDD-COPS) has
#'the portfolio fraction allocated to single risky asset as:
#'
-#' \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-EDD(t)}{1-EDD(t)}\biggr]\right\}}
#'
#' The risk free asset accounts for the rest of the portfolio allocation \eqn{x_f = 1 - x_t}.
#'dt<-read.zoo("../data/ret.csv",sep=",",header = TRUE)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R 2013-08-30 08:01:57 UTC (rev 2939)
@@ -5,17 +5,11 @@
#'The Rolling Economic Drawdown Controlled Optimal Portfolio Strategy(REDD-COPS) has
#'the portfolio fraction allocated to single risky asset as:
#'
-#' \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
#'
#' The risk free asset accounts for the rest of the portfolio allocation \eqn{x_f = 1 - x_t}.
#'
#' For two risky assets in REDD-COPS,dynamic asset allocation weights are :
#'
-#'\deqn{\left[\begin{array}{c} x_1 \\ x_2 \end{array}\right] = \frac{1}{1-{\rho}^2}
-#' \left[\begin{array}{c} (\lambda_1 + {1/2}\sigma_1 - \rho.(\lambda_2 + {1/2}\sigma_2
-#' )/\sigma_1) \\ (\lambda_1 + {1/2}\sigma_1 - \rho(\lambda_2 + {1/2}\sigma_2)/\sigma_
-#' 1) \end{array}\right] Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta
-#' .\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
#'
#'The portion of the risk free asset is \eqn{x_f = 1 - x_1 - x_2}.
#'dt<-read.zoo("../data/ret.csv",sep=",",header = TRUE)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R 2013-08-30 08:01:57 UTC (rev 2939)
@@ -5,7 +5,7 @@
#'Rolling Economic Max at time t, looking back at portfolio Wealth history
#'for a rolling window of length H is given by:
#'
-#'\deqn{REM(t,h)=\max_{t-H \leq s}\[(1+r_f)^{t-s}W_s\]}
+#'\deqn{REM(t,h)=\max_{t-H \leq s}[(1+r_f)^{t-s}W_s]}
#'
#'Here rf is the average realized risk free rate over a period of length t-s. If the risk free rate is changing. This is used to compound.
#'
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd 2013-08-30 08:01:57 UTC (rev 2939)
@@ -27,9 +27,6 @@
Strategy(EDD-COPS) has the portfolio fraction allocated
to single risky asset as:
- \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma +
- 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-EDD(t)}{1-EDD(t)}\biggr]\right\}}
-
The risk free asset accounts for the rest of the
portfolio allocation \eqn{x_f = 1 - x_t}.
dt<-read.zoo("../data/ret.csv",sep=",",header = TRUE)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-08-30 08:01:57 UTC (rev 2939)
@@ -35,24 +35,12 @@
Portfolio Strategy(REDD-COPS) has the portfolio fraction
allocated to single risky asset as:
- \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma +
- 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
-
The risk free asset accounts for the rest of the
portfolio allocation \eqn{x_f = 1 - x_t}.
For two risky assets in REDD-COPS,dynamic asset
allocation weights are :
- \deqn{\left[\begin{array}{c} x_1 \\ x_2
- \end{array}\right] = \frac{1}{1-{\rho}^2}
- \left[\begin{array}{c} (\lambda_1 + {1/2}\sigma_1 -
- \rho.(\lambda_2 + {1/2}\sigma_2 )/\sigma_1) \\ (\lambda_1
- + {1/2}\sigma_1 - \rho(\lambda_2 + {1/2}\sigma_2)/\sigma_
- 1) \end{array}\right]
- Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta
- .\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
-
The portion of the risk free asset is \eqn{x_f = 1 - x_1
- x_2}. dt<-read.zoo("../data/ret.csv",sep=",",header =
TRUE)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd 2013-08-30 08:01:57 UTC (rev 2939)
@@ -24,7 +24,7 @@
Wealth history for a rolling window of length H is given
by:
- \deqn{REM(t,h)=\max_{t-H \leq s}\[(1+r_f)^{t-s}W_s\]}
+ \deqn{REM(t,h)=\max_{t-H \leq s}[(1+r_f)^{t-s}W_s]}
Here rf is the average realized risk free rate over a
period of length t-s. If the risk free rate is changing.
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw 2013-08-30 05:11:46 UTC (rev 2938)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/vignettes/REDDCOPS.Rnw 2013-08-30 08:01:57 UTC (rev 2939)
@@ -90,15 +90,11 @@
The Rolling Economic Drawdown Controlled Optimal Portfolio Strategy(REDD-COPS) has
the portfolio fraction allocated to single risky asset as:
-\deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
-
+
The risk free asset accounts for the rest of the portfolio allocation \eqn{x_f = 1 - x_t}.
For two risky assets in REDD-COPS,dynamic asset allocation weights are :
-
-\deqn{\left[\begin{array}{c} x_1 \\ x_2 \end{array}\right] = \frac{1}{1-{\rho}^2}
-\left[\begin{array}{c} (\lambda_1 + {1/2}\sigma_1 - \rho.(\lambda_2 + {1/2}\sigma_2)/\sigma_1) \\ (\lambda_1 + {1/2}\sigma_1 - \rho(\lambda_2 + {1/2}\sigma_2)/\sigma_1) \end{array}\right] Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-REDD(t,h)}{1-REDD(t,h)}\biggr]\right\}}
-
+
The portion of the risk free asset is \eqn{x_f = 1 - x_1 - x_2}.
\subsection{Usage}
More information about the Returnanalytics-commits
mailing list