[Returnanalytics-commits] r2354 - pkg/PerformanceAnalytics/sandbox/pulkit

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

Author: pulkit
Date: 2013-06-18 19:51:26 +0200 (Tue, 18 Jun 2013)
New Revision: 2354

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/PSRopt.R
Log:
Porting the Optimization code

Added: pkg/PerformanceAnalytics/sandbox/pulkit/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/PSRopt.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/PSRopt.R	2013-06-18 17:51:26 UTC (rev 2354)
@@ -0,0 +1,98 @@
+PsrPortfolio<-function(R,bounds=NULL,MaxIter = 1000,delta = 0.05){
+
+    x = checkData(R)
+    columns = ncol(x)
+    n = nrow(x)
+    columnnames = colnames(x)
+
+    weights = rep(1,columns)/columns
+
+    if(is.null(bounds)){
+        bounds = matrix(rep(c(0,1),columns),nrow = columns,byrow = TRUE)
+    }
+
+
+     
+
+    optimize<-function(){
+    
+    mean = NULL   
+    for(column in 1:columns){
+        mean = c(mean,get_Moments(x[,column],1))
+    }
+    while(TRUE){
+        if(iter == MaxIter) break
+        c(d1z,z) = get_d1zs(mean,weights)
+        
+    }
+
+
+    checkBounds<-function(w){
+    }
+
+    stepSize<-function(w,d1Z){
+    }
+
+    get_d1Zs(mean,w){
+        d1Z = rep(0,columns)
+        m = NULL
+        x = Return.portfolio(x,weights)
+        m[1] = get_Moments(x,1)
+        for(i in 1:4){
+            m = c(m,get_Moments(x,i+1,m[0])) 
+        }
+        stats = get_Stats(m)
+        c(meanSR,sigmaSR) = get_SR(stats,n)
+        for(i in 1:columns){
+            d1Z[i] = get_d1Z(stats,m,meanSR,sigmaSR,mean,weights,index)
+        }
+    }
+
+    get_d1Z<-function(stats,m,meanSR,sigmaSR,mean,w,index){
+        d1Mu = get_d1Mu(mean,index)
+        
+
+
+    }
+
+    get_d1Mu<-function(mean,index){
+    }
+
+    get_d1Sigma<-function(sigma,mean,w,index){
+    }
+
+    get_d1Skew<-function(d1Sigma,sigma,mean,w,index,m3){
+    }
+
+    get_d1Kurt<-function(d1Sigma,sigma,mean,w,index,m4){
+    }
+
+    get_dnMoments<-function(mean,w,mOrder,dOrder,index){
+    }
+
+    get_SR<-function(stats,n){
+        meanSR = stats[0]/stats[1]
+        sigmaSR = ((1-meanSR*stats[2]+(meanSR^2)*(stats[3]-1)/4)/(n-1))^0.5
+        return(meanSR,sigmaSR)
+    }
+
+    get_Stats<-function(m){
+        stats = c(m[0],m[1]^(0.5),(m[2]/m[1])^(3/2),(m[3]/m[1])^(0.5))
+        return(stats)
+    }
+
+    get_Moments<-function(x,order,mean = 0){
+
+        sum = 0 
+        for(i in 1:n){
+        sum = sum + (x[i]-mean)^order
+        }
+        moment = sum/n
+        return(moment)
+    }
+
+}
+
+
+
+