[Returnanalytics-commits] r2668 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2013-07-29 18:49:31 +0200 (Mon, 29 Jul 2013)
New Revision: 2668

Added:
   pkg/PortfolioAnalytics/sandbox/testing_separate_constraints_objectives.R
Log:
adding testing script to sandbox folder to test constraints and objectives that are specified separately

Added: pkg/PortfolioAnalytics/sandbox/testing_separate_constraints_objectives.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_separate_constraints_objectives.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_separate_constraints_objectives.R	2013-07-29 16:49:31 UTC (rev 2668)
@@ -0,0 +1,100 @@
+
+# testing insert_constraints and insert_objectives
+
+library(PortfolioAnalytics)
+data(edhec)
+ret <- edhec[, 1:4]
+funds <- colnames(ret)
+
+# We still need a portfolio object, but it does not need constraints and objectives
+pspec <- portfolio.spec(assets=funds)
+
+# Get the assets from the portfolio object
+assets <- pspec$assets
+
+# Note that box constraints are 'portfolio-aware' so we need to know the assets.
+# The assets should be a named vector of seed weights.
+box1 <- box_constraint(assets=assets, min=0, max=0.65)
+# We can specify type="long_only"
+box2 <- box_constraint(type="long_only", assets=assets)
+# If min_sum and max_sum are not specified, we default to long only
+box3 <- box_constraint(assets=assets)
+
+# We default to min_sum=0.99 and max_sum=1.01
+weight1 <- weight_sum_constraint()
+# By specifying type="full_investment", min_sum=1 and max_sum=1.
+weight2 <- weight_sum_constraint(type="full_investment")
+# By specifying type="active" or type="dollar_neutral", min_sum=0 and max_sum=0.
+weight3 <- weight_sum_constraint(type="active")
+weight4 <- weight_sum_constraint(type="dollar_neutral")
+
+# Note that group constraints are 'portfolio-aware' so we need to know the assets.
+# The assets should be a named vector of seed weights.
+# These are the required arguments to specify group constraints
+group1 <- group_constraint(assets=assets, groups=c(2, 2), group_min=0, group_max=0.8)
+
+# Alternatively, we can also specify labels for the groups with the 
+# group_labels arg as well as group position limits with group_pos
+group2 <- group_constraint(assets=assets, groups=c(2, 2), group_labels=c("Small", "Large"), 
+                 group_min=0, group_max=0.8, group_pos=c(2, 1))
+
+# We can specify a target turnover as a constraint 
+to1 <- turnover_constraint(turnover_target=0.3)
+
+# We can specify a target diversification as a constraint 
+div1 <- diversification_constraint(div_target=0.8)
+
+# We can specify the maximum number of positions (non-zero asset weights)
+pl1 <- position_limit_constraint(assets=assets, max_pos=3)
+
+# We can also specify the maximum number of long positions and maximum number
+# of short positions
+pl2 <- position_limit_constraint(assets=assets, max_pos_long=2, max_pos_short=2)
+
+foo <- 4
+bar <- "fubar"
+
+tmp1 <- list(weight1, box1, group1)
+
+tmp2 <- list(weight2, box2, group2)
+
+tmp3 <- list(weight1, box1, foo, bar, div1)
+
+tmp4 <- c(weight3, box1, div1)
+tmp5 <- list(weight3, box1, div1)
+tmp6 <- list(weight2, box2, group2)
+
+print.default(insert_constraints(portfolio=pspec, constraints=tmp1))
+print.default(insert_constraints(constraints=tmp1))
+print.default(insert_constraints(portfolio=pspec, constraints=tmp2))
+print.default(insert_constraints(portfolio=pspec, constraints=tmp3))
+print.default(insert_constraints(portfolio=pspec, constraints=tmp4))
+print.default(insert_constraints(portfolio=pspec, constraints=tmp5))
+print.default(insert_constraints(portfolio=pspec, constraints=tmp6))
+
+# objective functions
+ret1 <- return_objective(name="mean")
+ret2 <- return_objective(name="mean", target=0.008)
+
+risk1 <- portfolio_risk_objective(name="var")
+# risk_budget_objective()
+to1 <- turnover_objective(name="turnover")
+minmax1 <- minmax_objective(name="var", min=0.003, max=0.005)
+minmax2 <- minmax_objective(name="mean", min=0.06, max=0.08)
+
+obj1 <- list(ret1)
+obj2 <- list(risk1)
+obj3 <- list(ret2, risk1)
+obj4 <- list(ret1, foo, risk1)
+obj5 <- c(ret1, risk1)
+obj6 <- list(ret1, risk1, to1, minmax2)
+
+print.default(insert_objectives(portfolio=pspec, objectives=obj1))
+print.default(insert_objectives(objectives=obj1))
+print.default(insert_objectives(portfolio=pspec, objectives=obj2))
+print.default(insert_objectives(portfolio=pspec, objectives=obj3))
+print.default(insert_objectives(portfolio=pspec, objectives=obj4))
+print.default(insert_objectives(portfolio=pspec, objectives=obj5))
+print.default(insert_objectives(portfolio=pspec, objectives=obj6))
+
+