[Returnanalytics-commits] r2967 - pkg/PerformanceAnalytics/sandbox/pulkit/man

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

Author: braverock
Date: 2013-09-01 03:48:57 +0200 (Sun, 01 Sep 2013)
New Revision: 2967

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd
Removed:
   pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd
   pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd
Log:
- restore CDaR.Rd and chart.REDD.Rd, they got lost somehow


Deleted: pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd	2013-09-01 01:41:03 UTC (rev 2966)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd	2013-09-01 01:48:57 UTC (rev 2967)
@@ -1,58 +0,0 @@
-\name{CDaR}
-\alias{CDaR}
-\alias{CDD}
-\title{Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR)
-measure}
-\usage{
-  CDaR(R, weights = NULL, geometric = TRUE, invert = TRUE,
-    p = 0.95, ...)
-}
-\arguments{
-  \item{R}{an xts, vector, matrix, data frame, timeSeries
-  or zoo object of asset returns}
-
-  \item{weights}{portfolio weighting vector, default NULL,
-  see Details}
-
-  \item{geometric}{utilize geometric chaining (TRUE) or
-  simple/arithmetic chaining (FALSE) to aggregate returns,
-  default TRUE}
-
-  \item{invert}{TRUE/FALSE whether to invert the drawdown
-  measure.  see Details.}
-
-  \item{p}{confidence level for calculation, default
-  p=0.95}
-
-  \item{\dots}{any other passthru parameters}
-}
-\description{
-  For some confidence level \eqn{p}, the conditional
-  drawdown is the the mean of the worst \eqn{p\%}
-  drawdowns.
-}
-\examples{
-library(lpSolve)
-data(edhec)
-t(round(CDaR(edhec),4))
-}
-\author{
-  Brian G. Peterson
-}
-\references{
-  Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio
-  Optimization With Drawdown Constraints. B. Scherer (Ed.)
-  Asset and Liability Management Tools, Risk Books, London,
-  2003 http://www.ise.ufl.edu/uryasev/drawdown.pdf
-}
-\seealso{
-  \code{\link{ES}} \code{\link{maxDrawdown}}
-  \code{\link{CdarMultiPath}} \code{\link{AlphaDrawdown}}
-  \code{\link{MultiBetaDrawdown}}
-  \code{\link{BetaDrawdown}}
-}
-\keyword{distribution}
-\keyword{models}
-\keyword{multivariate}
-\keyword{ts}
-

Added: pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/CDaR.Rd	2013-09-01 01:48:57 UTC (rev 2967)
@@ -0,0 +1,58 @@
+\name{CDaR}
+\alias{CDaR}
+\alias{CDD}
+\title{Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR)
+measure}
+\usage{
+  CDaR(R, weights = NULL, geometric = TRUE, invert = TRUE,
+    p = 0.95, ...)
+}
+\arguments{
+  \item{R}{an xts, vector, matrix, data frame, timeSeries
+  or zoo object of asset returns}
+
+  \item{weights}{portfolio weighting vector, default NULL,
+  see Details}
+
+  \item{geometric}{utilize geometric chaining (TRUE) or
+  simple/arithmetic chaining (FALSE) to aggregate returns,
+  default TRUE}
+
+  \item{invert}{TRUE/FALSE whether to invert the drawdown
+  measure.  see Details.}
+
+  \item{p}{confidence level for calculation, default
+  p=0.95}
+
+  \item{\dots}{any other passthru parameters}
+}
+\description{
+  For some confidence level \eqn{p}, the conditional
+  drawdown is the the mean of the worst \eqn{p\%}
+  drawdowns.
+}
+\examples{
+library(lpSolve)
+data(edhec)
+t(round(CDaR(edhec),4))
+}
+\author{
+  Brian G. Peterson
+}
+\references{
+  Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio
+  Optimization With Drawdown Constraints. B. Scherer (Ed.)
+  Asset and Liability Management Tools, Risk Books, London,
+  2003 http://www.ise.ufl.edu/uryasev/drawdown.pdf
+}
+\seealso{
+  \code{\link{ES}} \code{\link{maxDrawdown}}
+  \code{\link{CdarMultiPath}} \code{\link{AlphaDrawdown}}
+  \code{\link{MultiBetaDrawdown}}
+  \code{\link{BetaDrawdown}}
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+

Deleted: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd	2013-09-01 01:41:03 UTC (rev 2966)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd	2013-09-01 01:48:57 UTC (rev 2967)
@@ -1,51 +0,0 @@
-\name{chart.REDD}
-\alias{chart.REDD}
-\title{Time series of Rolling Economic Drawdown}
-\usage{
-  chart.REDD(R, rf, h, geometric = TRUE, legend.loc = NULL,
-    colorset = (1:12), ...)
-}
-\arguments{
-  \item{R}{an xts, vector, matrix, data frame, timeseries,
-  or zoo object of asset return.}
-
-  \item{rf}{risk free rate can be vector such as government
-  security rate of return}
-
-  \item{h}{lookback period}
-
-  \item{geometric}{utilize geometric chaining (TRUE) or
-  simple/arithmetic chaining(FALSE) to aggregate returns,
-  default is TRUE.}
-
-  \item{legend.loc}{set the legend.loc, as in
-  \code{\link{plot}}}
-
-  \item{colorset}{set the colorset label, as in
-  \code{\link{plot}}}
-
-  \item{\dots}{any other variable}
-}
-\description{
-  This function plots the time series of Rolling Economic
-  Drawdown. For more details on rolling economic drawdown
-  see \code{rollDrawdown}.
-}
-\examples{
-data(edhec)
-chart.REDD(edhec,0.08,20)
-}
-\author{
-  Pulkit Mehrotra
-}
-\references{
-  Yang, Z. George and Zhong, Liang, Optimal Portfolio
-  Strategy to Control Maximum Drawdown - The Case of Risk
-  Based Dynamic Asset Allocation (February 25, 2012)
-}
-\seealso{
-  \code{\link{plot}} \code{\link{EconomicDrawdown}}
-  \code{\link{EDDCOPS}} \code{\link{rollDrawdown}}
-  \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
-}
-

Added: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.REDD.Rd	2013-09-01 01:48:57 UTC (rev 2967)
@@ -0,0 +1,51 @@
+\name{chart.REDD}
+\alias{chart.REDD}
+\title{Time series of Rolling Economic Drawdown}
+\usage{
+  chart.REDD(R, rf, h, geometric = TRUE, legend.loc = NULL,
+    colorset = (1:12), ...)
+}
+\arguments{
+  \item{R}{an xts, vector, matrix, data frame, timeseries,
+  or zoo object of asset return.}
+
+  \item{rf}{risk free rate can be vector such as government
+  security rate of return}
+
+  \item{h}{lookback period}
+
+  \item{geometric}{utilize geometric chaining (TRUE) or
+  simple/arithmetic chaining(FALSE) to aggregate returns,
+  default is TRUE.}
+
+  \item{legend.loc}{set the legend.loc, as in
+  \code{\link{plot}}}
+
+  \item{colorset}{set the colorset label, as in
+  \code{\link{plot}}}
+
+  \item{\dots}{any other variable}
+}
+\description{
+  This function plots the time series of Rolling Economic
+  Drawdown. For more details on rolling economic drawdown
+  see \code{rollDrawdown}.
+}
+\examples{
+data(edhec)
+chart.REDD(edhec,0.08,20)
+}
+\author{
+  Pulkit Mehrotra
+}
+\references{
+  Yang, Z. George and Zhong, Liang, Optimal Portfolio
+  Strategy to Control Maximum Drawdown - The Case of Risk
+  Based Dynamic Asset Allocation (February 25, 2012)
+}
+\seealso{
+  \code{\link{plot}} \code{\link{EconomicDrawdown}}
+  \code{\link{EDDCOPS}} \code{\link{rollDrawdown}}
+  \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
+}
+