[Returnanalytics-commits] r2467 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2013-06-28 21:19:53 +0200 (Fri, 28 Jun 2013)
New Revision: 2467

Added:
   pkg/PortfolioAnalytics/sandbox/testing_minmax_sd.R
Log:
adding testing script to sandbox folder to test the minmax objective

Added: pkg/PortfolioAnalytics/sandbox/testing_minmax_sd.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_minmax_sd.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_minmax_sd.R	2013-06-28 19:19:53 UTC (rev 2467)
@@ -0,0 +1,72 @@
+# Script to test specifying a min and max instead of a target for an objective
+
+library(PortfolioAnalytics)
+
+data(edhec)
+
+ret <- edhec[, 1:10]
+
+constraints=constraint(assets = colnames(ret), 
+                       min = 0, 
+                       max = 1, 
+                       min_sum=0.99, 
+                       max_sum=1.01, 
+                       weight_seq = generatesequence())
+
+# add objective to maximize return
+constraints <- add.objective(constraints, type="return", name="mean", multiplier=-1, enabled=TRUE)
+
+# add "tmp_minmax" type objective with "sd" as the name of the function. # This is matched to StdDev
+# Penalize if sd is outside of the range of min and max
+constraints <- add.objective(constraints, type="tmp_minmax", name="sd", 
+                             min=0.005, max=0.02, multiplier=0, enabled=TRUE)
+
+# Maximize return subject to a range portfolio volatility values
+
+##### test 1: just calculate portfolio sd #####
+set.seed(123)
+opt_out_rp1 <- optimize.portfolio(R=ret, constraints, optimize_method="random", search_size=2000, trace=FALSE)
+
+# sd = 0.01385472 when when multiplier = 0
+# This calculates the portfolio sd, but does not use it in the objective function
+opt_out_rp1$objective_measures$sd
+
+##### test 2: within range #####
+# Change the multiplier to 1 and set the min and max outside of the calculated
+# portfolio sd. 
+constraints$objectives[[2]]$multiplier=1
+constraints$objectives[[2]]$min=0.011
+constraints$objectives[[2]]$max=0.015
+
+set.seed(123)
+opt_out_rp2 <- optimize.portfolio(R=ret, constraints, optimize_method="random", search_size=2000, trace=TRUE)
+
+# portfolio sd should be unchanged
+opt_out_rp2$objective_measures$sd
+
+##### test 3: lower max #####
+# Lower the max below 0.01385472
+constraints$objectives[[2]]$min=0.005
+constraints$objectives[[2]]$max=0.011
+
+set.seed(123)
+opt_out_rp3 <- optimize.portfolio(R=ret, constraints, optimize_method="random", search_size=2000, trace=TRUE)
+
+# Portfolio sd should now be less than 0.011
+opt_out_rp3$objective_measures$sd
+
+##### test 4: raise min #####
+# Raise the min above 0.01385472
+constraints$objectives[[2]]$min=0.015
+constraints$objectives[[2]]$max=0.02
+
+set.seed(123)
+opt_out_rp4 <- optimize.portfolio(R=ret, constraints, optimize_method="random", search_size=2000, trace=TRUE)
+
+# Portfolio sd should now be greater than 0.15
+opt_out_rp4$objective_measures$sd
+
+# constraints <- add.objective(constraints, type="risk", name="sd", target=0.012, multiplier=1, enabled=TRUE)
+# constraints$objectives[[2]]$enabled=FALSE
+# opt_out_rp <- optimize.portfolio(R=ret, constraints, optimize_method="random", search_size=2000, trace=FALSE)
+# opt_out_rp$objective_measures