[Returnanalytics-commits] r2543 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2013-07-11 14:03:48 +0200 (Thu, 11 Jul 2013)
New Revision: 2543

Added:
   pkg/PortfolioAnalytics/sandbox/testing_optimize.portfolio_v2.R
Log:
adding testing script for optimize.portfolio and optimize.portfolio_v2

Added: pkg/PortfolioAnalytics/sandbox/testing_optimize.portfolio_v2.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_optimize.portfolio_v2.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_optimize.portfolio_v2.R	2013-07-11 12:03:48 UTC (rev 2543)
@@ -0,0 +1,42 @@
+library(PortfolioAnalytics)
+library(DEoptim)
+library(ROI)
+
+data(edhec)
+ret <- edhec[, 1:4]
+funds <- colnames(ret)
+
+gen.constr <- constraint(assets=funds, min=0, max=1, min_sum=0.99, max_sum=1.01, 
+                         weight_seq = generatesequence(min=0, max=1, by=0.002))
+gen.constr <- add.objective(constraints=gen.constr, type="return", name="mean", enabled=TRUE, multiplier=-1)
+# gen.constr <- add.objective(constraints=gen.constr, type="risk", name="CVaR", enabled=FALSE, multiplier=0)
+
+pspec <- portfolio.spec(assets=funds, weight_seq = generatesequence(min=0, max=1, by=0.002))
+pspec <- add.constraint(portfolio=pspec, type="leverage", min_sum=0.99, max_sum=1.01, enabled=TRUE)
+pspec <- add.constraint(portfolio=pspec, type="box", min=0, max=1, enabled=TRUE)
+pspec <- add.objective_v2(portfolio=pspec, type="return", name="mean", multiplier=-1, enabled=TRUE)
+# pspec <- add.objective_v2(portfolio=pspec, type="risk", name="CVaR", multiplier=0, enabled=TRUE)
+
+# tmp1 <- set.portfolio.moments(R=ret, constraints=gen.constr)
+# tmp2 <- set.portfolio.moments_v2(R=ret, portfolio=pspec)
+# all.equal(tmp1, tmp2)
+
+##### Simple test for DEoptim with optimize.portfolio_v2 #####
+# generate an initial population with random_portfolios
+rp <- random_portfolios_v2(portfolio=pspec, permutations=40)
+
+set.seed(123)
+opt_out <- optimize.portfolio(R=ret, gen.constr, optimize_method="DEoptim", search_size=1000, trace=FALSE, rpseed=rp)
+
+set.seed(123)
+opt <- optimize.portfolio_v2(R=ret, portfolio=pspec, optimize_method="DEoptim", search_size=1000, trace=FALSE, rpseed=rp)
+
+all.equal(opt_out$weights, opt$weights)
+all.equal(opt_out$objective_measures, opt$objective_measures)
+
+
+##### Test version of random_portfolios #####
+tmp <- random_portfolios(gen.constr)
+tmp1 <- random_portfolios_v2(pspec)
+all(rowSums(tmp1) <= 1.01) & all(rowSums(tmp1) >= 0.99)
+