[Returnanalytics-commits] r2680 - pkg/PerformanceAnalytics/sandbox/pulkit/week5

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

Author: pulkit
Date: 2013-07-30 17:06:33 +0200 (Tue, 30 Jul 2013)
New Revision: 2680

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.pdf
Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.Rnw
Log:
REDD COPS vignette

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R	2013-07-30 11:47:45 UTC (rev 2679)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R	2013-07-30 15:06:33 UTC (rev 2680)
@@ -11,11 +11,11 @@
 #' 
 #' 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\}}
+#'\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}.
 #'

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.Rnw	2013-07-30 11:47:45 UTC (rev 2679)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.Rnw	2013-07-30 15:06:33 UTC (rev 2680)
@@ -121,14 +121,11 @@
  
 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\}}
+\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}.
-\iffalse
+
 \subsection{Usage}
 
 The Return series ,drawdown limit, risk free rate and the lookback period , the number of assets and the type of REDD-COPS is taken as the input.
@@ -146,7 +143,7 @@
 free return(rf) and the lookback period(h) is taken as the input.
 Economic Drawdown is given by the equation
 
-\deqn{EDD(t)=1-\frac{W_t}/{EM(t)}}
+\deqn{EDD(t)=1-\frac{W_t}{EM(t)}}
 
 Here EM stands for Economic Max.
 
@@ -172,6 +169,5 @@
 data(edhec)
 head(EDDCOPS(edhec,delta = 0.1,gamma = 0.7,Rf = 0))
 @
-\fi
 
 \end{document}

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.pdf
===================================================================
(Binary files differ)


Property changes on: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.pdf
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Added: svn:mime-type
   + application/octet-stream