[Returnanalytics-commits] r2431 - in pkg/PortfolioAnalytics: . man

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

Author: rossbennett34
Date: 2013-06-25 14:00:34 +0200 (Tue, 25 Jun 2013)
New Revision: 2431

Added:
   pkg/PortfolioAnalytics/man/diversification.Rd
   pkg/PortfolioAnalytics/man/diversification_constraint.Rd
   pkg/PortfolioAnalytics/man/volatility_constraint.Rd
Modified:
   pkg/PortfolioAnalytics/NAMESPACE
Log:
adding documentation for diversification and volatility constraints

Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE	2013-06-25 10:05:32 UTC (rev 2430)
+++ pkg/PortfolioAnalytics/NAMESPACE	2013-06-25 12:00:34 UTC (rev 2431)
@@ -14,6 +14,8 @@
 export(constraint_ROI)
 export(constraint_v2)
 export(constraint)
+export(diversification_constraint)
+export(diversification)
 export(extract.efficient.frontier)
 export(extractStats.optimize.portfolio.DEoptim)
 export(extractStats.optimize.portfolio.parallel)
@@ -47,4 +49,5 @@
 export(turnover_constraint)
 export(turnover_objective)
 export(update.constraint)
+export(volatility_constraint)
 export(weight_sum_constraint)

Added: pkg/PortfolioAnalytics/man/diversification.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/diversification.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/diversification.Rd	2013-06-25 12:00:34 UTC (rev 2431)
@@ -0,0 +1,17 @@
+\name{diversification}
+\alias{diversification}
+\title{Function to compute diversification as a constraint}
+\usage{
+  diversification(weights)
+}
+\arguments{
+  \item{weights}{vector of asset weights}
+}
+\description{
+  Diversification is defined as 1 minus the sum of the
+  squared weights diversification <- 1 - sum(w^2)
+}
+\author{
+  Ross Bennett
+}
+

Added: pkg/PortfolioAnalytics/man/diversification_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/diversification_constraint.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/diversification_constraint.Rd	2013-06-25 12:00:34 UTC (rev 2431)
@@ -0,0 +1,26 @@
+\name{diversification_constraint}
+\alias{diversification_constraint}
+\title{constructor for diversification_constraint}
+\usage{
+  diversification_constraint(type, div.target,
+    enabled = FALSE, ...)
+}
+\arguments{
+  \item{type}{character type of the constraint}
+
+  \item{div.target}{diversification target 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="diversification" is specified,
+  \code{\link{add.constraint}}
+}
+\author{
+  Ross Bennett
+}
+

Added: pkg/PortfolioAnalytics/man/volatility_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/volatility_constraint.Rd	                        (rev 0)
+++ pkg/PortfolioAnalytics/man/volatility_constraint.Rd	2013-06-25 12:00:34 UTC (rev 2431)
@@ -0,0 +1,31 @@
+\name{volatility_constraint}
+\alias{volatility_constraint}
+\title{constructor for volatility_constraint}
+\usage{
+  volatility_constraint(type, min.vol, max.vol,
+    enabled = FALSE, ...)
+}
+\arguments{
+  \item{type}{character type of the constraint}
+
+  \item{min.vol}{minimum volatility constraint}
+
+  \item{max.vol}{maximum volatilty constraint}
+
+  \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="volatility" is specified,
+  \code{\link{add.constraint}} If portfolio standard
+  deviation is less than min.vol, add penalty to maximize
+  If portfolio standard deviation is greater than max.vol,
+  add penalty to minimize
+}
+\author{
+  Ross Bennett
+}
+