[Returnanalytics-commits] r2400 - pkg/PortfolioAnalytics/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Jun 22 05:44:42 CEST 2013
Author: rossbennett34
Date: 2013-06-22 05:44:42 +0200 (Sat, 22 Jun 2013)
New Revision: 2400
Added:
pkg/PortfolioAnalytics/man/add.constraint.Rd
pkg/PortfolioAnalytics/man/add.objective_v2.Rd
pkg/PortfolioAnalytics/man/box_constraint.Rd
pkg/PortfolioAnalytics/man/constraint_ROI.Rd
pkg/PortfolioAnalytics/man/constraint_v2.Rd
pkg/PortfolioAnalytics/man/get.constraints.Rd
pkg/PortfolioAnalytics/man/group_constraint.Rd
pkg/PortfolioAnalytics/man/is.portfolio.Rd
pkg/PortfolioAnalytics/man/portfolio.spec.Rd
pkg/PortfolioAnalytics/man/turnover.Rd
pkg/PortfolioAnalytics/man/turnover_constraint.Rd
pkg/PortfolioAnalytics/man/turnover_objective.Rd
pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd
Log:
adding documentation files in man directory produced wth roxygenize
Added: pkg/PortfolioAnalytics/man/add.constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/add.constraint.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/add.constraint.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,39 @@
+\name{add.constraint}
+\alias{add.constraint}
+\title{General interface for adding and/or updating optimization constraints, currently supports weight, box and group constraints.}
+\usage{
+ add.constraint(portfolio, type, enabled = FALSE, ...,
+ indexnum = NULL)
+}
+\arguments{
+ \item{portfolio}{an object of class 'portfolio' to add
+ the constraint to, specifying the constraints for the
+ optimization, see \code{\link{portfolio.spec}}}
+
+ \item{type}{character type of the constraint to add or
+ update, currently 'weight_sum', 'box', or 'group'}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters to specify box
+ and/or group constraints}
+
+ \item{indexnum}{if you are updating a specific
+ constraint, the index number in the $objectives list to
+ update}
+}
+\description{
+ This is the main function for adding and/or updating
+ constraints in an object of type \code{\link{portfolio}}.
+}
+\details{
+ In general, you will define your constraints as one of
+ three types: 'weight_sum', 'box', or 'group'.
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{constraint}}
+}
+
Added: pkg/PortfolioAnalytics/man/add.objective_v2.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/add.objective_v2.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/add.objective_v2.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,48 @@
+\name{add.objective_v2}
+\alias{add.objective_v2}
+\title{General interface for adding optimization objectives, including risk, return, and risk budget}
+\usage{
+ add.objective_v2(portfolio, type, name, arguments = NULL,
+ enabled = FALSE, ..., indexnum = NULL)
+}
+\arguments{
+ \item{portfolio}{an object of type 'portfolio' to add the
+ objective to, specifying the portfolio for the
+ optimization, see \code{\link{portfolio}}}
+
+ \item{type}{character type of the objective to add or
+ update, currently 'return','risk', or 'risk_budget'}
+
+ \item{name}{name of the objective, should correspond to a
+ function, though we will try to make allowances}
+
+ \item{arguments}{default arguments to be passed to an
+ objective function when executed}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters}
+
+ \item{indexnum}{if you are updating a specific
+ constraint, the index number in the $objectives list to
+ update}
+}
+\description{
+ This function is the main function for adding and
+ updating business objectives in an object of type
+ \code{\link{portfolio}}.
+}
+\details{
+ In general, you will define your objective as one of
+ three types: 'return', 'risk', or 'risk_budget'. These
+ have special handling and intelligent defaults for
+ dealing with the function most likely to be used as
+ objectives, including mean, median, VaR, ES, etc.
+}
+\author{
+ Brian G. Peterson and Ross Bennett
+}
+\seealso{
+ \code{\link{objective}}
+}
+
Added: pkg/PortfolioAnalytics/man/box_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/box_constraint.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/box_constraint.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,43 @@
+\name{box_constraint}
+\alias{box_constraint}
+\title{constructor for box_constraint.}
+\usage{
+ box_constraint(type, assets, min, max, min_mult,
+ max_mult, enabled = FALSE, ...)
+}
+\arguments{
+ \item{type}{character type of the constraint}
+
+ \item{assets}{number of assets, or optionally a named
+ vector of assets specifying seed weights}
+
+ \item{min}{numeric or named vector specifying minimum
+ weight box constraints}
+
+ \item{max}{numeric or named vector specifying minimum
+ weight box constraints}
+
+ \item{min_mult}{numeric or named vector specifying
+ minimum multiplier box constraint from seed weight in
+ \code{assets}}
+
+ \item{max_mult}{numeric or named vector specifying
+ maximum multiplier box constraint from seed weight in
+ \code{assets}}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters to specify box
+ and/or group constraints}
+}
+\description{
+ This function is called by add.constraint when type="box"
+ is specified. see \code{\link{add.constraint}}
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{add.constraint}}
+}
+
Added: pkg/PortfolioAnalytics/man/constraint_ROI.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/constraint_ROI.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/constraint_ROI.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,31 @@
+\name{constraint_ROI}
+\alias{constraint_ROI}
+\title{constructor for class constraint_ROI}
+\usage{
+ constraint_ROI(assets = NULL, op.problem,
+ solver = c("glpk", "quadprog"), weight_seq = NULL)
+}
+\arguments{
+ \item{assets}{number of assets, or optionally a named
+ vector of assets specifying seed weights}
+
+ \item{op.problem}{an object of type "OP" (optimization
+ problem, of \code{ROI}) specifying the complete
+ optimization problem, see ROI help pages for proper
+ construction of OP object.}
+
+ \item{solver}{string argument for what solver package to
+ use, must have ROI plugin installed for that solver.
+ Currently support is for \code{glpk} and
+ \code{quadprog}.}
+
+ \item{weight_seq}{seed sequence of weights, see
+ \code{\link{generatesequence}}}
+}
+\description{
+ constructor for class constraint_ROI
+}
+\author{
+ Hezky Varon
+}
+
Added: pkg/PortfolioAnalytics/man/constraint_v2.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/constraint_v2.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/constraint_v2.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,26 @@
+\name{constraint_v2}
+\alias{constraint_v2}
+\title{constructor for class v2_constraint}
+\usage{
+ constraint_v2(type, enabled = FALSE, ...,
+ constrclass = "v2_constraint")
+}
+\arguments{
+ \item{type}{character type of the constraint to add or
+ update, currently 'weight_sum', 'box', or 'group'}
+
+ \item{assets}{number of assets, or optionally a named
+ vector of assets specifying seed weights}
+
+ \item{...}{any other passthru parameters}
+
+ \item{constrclass}{character to name the constraint
+ class}
+}
+\description{
+ constructor for class v2_constraint
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/get.constraints.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/get.constraints.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/get.constraints.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,26 @@
+\name{get.constraints}
+\alias{get.constraints}
+\title{Helper function to get the enabled constraints out of the portfolio object, see \code{\link{portfolio.spec}}
+ Returns an object of class constraint which is a flat list of weight_sum, box, and group constraints.
+ Uses the same naming as the v1_constraint object which may be useful when passed to other functions.}
+\usage{
+ get.constraints(portfolio)
+}
+\arguments{
+ \item{portfolio}{an object of class 'portfolio'}
+}
+\description{
+ Helper function to get the enabled constraints out of the
+ portfolio object, see \code{\link{portfolio.spec}}
+ Returns an object of class constraint which is a flat
+ list of weight_sum, box, and group constraints. Uses the
+ same naming as the v1_constraint object which may be
+ useful when passed to other functions.
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{portfolio.spec}}, \code{\link{constraint_v2}}
+}
+
Added: pkg/PortfolioAnalytics/man/group_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/group_constraint.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/group_constraint.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,38 @@
+\name{group_constraint}
+\alias{group_constraint}
+\title{constructor for group_constraint}
+\usage{
+ group_constraint(type, assets, groups, group_min,
+ group_max, enabled = FALSE, ...)
+}
+\arguments{
+ \item{type}{character type of the constraint}
+
+ \item{assets}{number of assets, or optionally a named
+ vector of assets specifying seed weights}
+
+ \item{groups}{vector specifying the groups of the assets}
+
+ \item{group_min}{numeric or vector specifying minimum
+ weight group constraints}
+
+ \item{group_max}{numeric or vector specifying minimum
+ weight group constraints}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters to specify box
+ and/or group constraints}
+}
+\description{
+ This function is called by add.constraint when
+ type="group" is specified. see
+ \code{\link{add.constraint}}
+}
+\author{
+ Ross Bennett
+}
+\seealso{
+ \code{\link{add.constraint}}
+}
+
Added: pkg/PortfolioAnalytics/man/is.portfolio.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/is.portfolio.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/is.portfolio.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,16 @@
+\name{is.portfolio}
+\alias{is.portfolio}
+\title{check function for portfolio}
+\usage{
+ is.portfolio(x)
+}
+\arguments{
+ \item{x}{object to test for type \code{portfolio}}
+}
+\description{
+ check function for portfolio
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/portfolio.spec.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/portfolio.spec.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/portfolio.spec.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,25 @@
+\name{portfolio.spec}
+\alias{portfolio.spec}
+\title{constructor for class portfolio}
+\usage{
+ portfolio.spec(assets = NULL, weight_seq = NULL)
+}
+\arguments{
+ \item{assets}{number of assets, or optionally a named
+ vector of assets specifying seed weights. If seed weights
+ are not specified, an equal weight portfolio will be
+ assumed.}
+
+ \item{weight_seq}{seed sequence of weights, see
+ \code{\link{generatesequence}}}
+}
+\description{
+ constructor for class portfolio
+}
+\examples{
+pspec <- portfolio.spec(assets=10, weight_seq=generatesequence())
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/turnover.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/turnover.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/turnover.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,23 @@
+\name{turnover}
+\alias{turnover}
+\title{Calculates turnover given two vectors of weights.
+This is used as an objective function and is called when the user adds an objective of type turnover with \code{\link{add.objective}}}
+\usage{
+ turnover(weights, wts.init = NULL)
+}
+\arguments{
+ \item{weights}{vector of weights from optimization}
+
+ \item{wts.init}{vector of initial weights used to
+ calculate turnover from}
+}
+\description{
+ Calculates turnover given two vectors of weights. This is
+ used as an objective function and is called when the user
+ adds an objective of type turnover with
+ \code{\link{add.objective}}
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/turnover_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/turnover_constraint.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/turnover_constraint.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,31 @@
+\name{turnover_constraint}
+\alias{turnover_constraint}
+\title{constructor for turnover_constraint}
+\usage{
+ turnover_constraint(type, max.turnover, enabled = FALSE,
+ ...)
+}
+\arguments{
+ \item{type}{character type of the constraint}
+
+ \item{max.turnover}{maximum turnover value}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters to specify box
+ and/or group constraints}
+}
+\description{
+ This function is called by add.constraint when
+ type="turnover" is specified. see
+ \code{\link{add.constraint}} This function allows the
+ user to specify a maximum turnover constraint
+}
+\details{
+ Note that turnover constraint is currently only supported
+ for global minimum variance problem with solve.QP plugin
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/turnover_objective.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/turnover_objective.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/turnover_objective.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,34 @@
+\name{turnover_objective}
+\alias{turnover_objective}
+\title{constructor for class turnover_objective}
+\usage{
+ turnover_objective(name, target = NULL, arguments = NULL,
+ multiplier = 1, enabled = FALSE, ...)
+}
+\arguments{
+ \item{name}{name of the objective, should correspond to a
+ function, though we will try to make allowances}
+
+ \item{target}{univariate target for the objective}
+
+ \item{arguments}{default arguments to be passed to an
+ objective function when executed}
+
+ \item{multiplier}{multiplier to apply to the objective,
+ usually 1 or -1}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters}
+}
+\description{
+ if target is null, we'll try to minimize the turnover
+ metric
+}
+\details{
+ if target is set, we'll try to meet the metric
+}
+\author{
+ Ross Bennett
+}
+
Added: pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd 2013-06-22 03:44:42 UTC (rev 2400)
@@ -0,0 +1,32 @@
+\name{weight_sum_constraint}
+\alias{weight_sum_constraint}
+\title{constructor for weight_sum_constraint}
+\usage{
+ weight_sum_constraint(type, min_sum = 0.99,
+ max_sum = 1.01, enabled = FALSE, ...)
+}
+\arguments{
+ \item{type}{character type of the constraint}
+
+ \item{min_sum}{minimum sum of all asset weights, default
+ 0.99}
+
+ \item{max_sum}{maximum sum of all asset weights, default
+ 1.01}
+
+ \item{enabled}{TRUE/FALSE}
+
+ \item{\dots}{any other passthru parameters to specify box
+ and/or group constraints}
+}
+\description{
+ This function is called by add.constraint when
+ type="weight_sum" is specified. see
+ \code{\link{add.constraint}} This function allows the
+ user to specify the minimum and maximum that the weights
+ sum to
+}
+\author{
+ Ross Bennett
+}
+
More information about the Returnanalytics-commits
mailing list