[Returnanalytics-commits] r2979 - in pkg/PerformanceAnalytics/sandbox/pulkit: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Sep 3 23:32:50 CEST 2013
Author: pulkit
Date: 2013-09-03 23:32:50 +0200 (Tue, 03 Sep 2013)
New Revision: 2979
Modified:
pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd
Log:
na in psr optimization
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -34,7 +34,7 @@
#'@param xlim set the xlim value, as in \code{\link{plot}}
#'@param \dots any other passthru variable
#'@author Pulkit Mehrotra
-#'@seealso \code{\link{BenchmarkSR}} \code{\link{chart.SRIndifference}} \code{\link{plot}}
+#'@seealso \code{\link{BenchmarkSR}} \code{\link{chart.SRIndifference}}
#'@references
#'Bailey, David H. and Lopez de Prado, Marcos, The Strategy Approval Decision:
#'A Sharpe Ratio Indifference Curve Approach (January 2013). Algorithmic Finance,
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -29,8 +29,8 @@
#'@param \dots any other passthru parameters
#'
#'@author Pulkit Mehrotra
-#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CDaR}}
-#'\code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
+#' @seealso \code{\link{CDaR}} \code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}}
+#'\code{\link{BetaDrawdown}}
#'@references
#'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model (CAPM)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/CdaR.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -17,8 +17,8 @@
#' @param p confidence level for calculation, default p=0.95
#' @param \dots any other passthru parameters
#' @author Brian G. Peterson
-#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
-#'\code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
+#' @seealso \code{\link{CdarMultiPath}} \code{\link{AlphaDrawdown}}
+#'\code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
#' @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
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -40,7 +40,7 @@
#'@param \dots any passthru variable.
#'
#'@author Pulkit Mehrotra
-#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
+#' @seealso \code{\link{CdarMultiPath}}
#'\code{\link{AlphaDrawdown}} \code{\link{MultiBetaDrawdown}} \code{\link{CDaR}}
#'
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/Drawdownalpha.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -26,7 +26,7 @@
#'@param \dots any passthru variable
#'
#'@author Pulkit Mehrotra
-#' @seealso \code{\link{ES}} \code{\link{maxDrawdown}} \code{\link{CdarMultiPath}}
+#' @seealso \code{\link{CdarMultiPath}}
#'\code{\link{CDaR}} \code{\link{MultiBetaDrawdown}} \code{\link{BetaDrawdown}}
#'@references
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/PSRopt.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -211,7 +211,7 @@
}
get_Moments<-function(series,order,mean = 0){
sum = 0
- mat = as.matrix(series)
+ mat = na.omit(as.matrix(series))
sum = .Call("sums_m",mat,mean,order)
# for(i in series){
# sum = sum + (i-mean)^order
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -33,8 +33,8 @@
#'@param xlim set the xlim value, as in \code{\link{plot}}
#'@param \dots Any other pass thru variable
#'@author Pulkit Mehrotra
-#'@seealso \code{\link{plot}} \code{\link{table.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
-#'@keywords ts multivariate distribution models hplot
+#'@seealso \code{\link{table.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
+#'@keywords ts multivariate distribution models plot
#'@examples
#'data(edhec)
#'chart.Penance(edhec,0.95)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R 2013-09-03 21:32:50 UTC (rev 2979)
@@ -13,7 +13,7 @@
#'@param colorset set the colorset label, as in \code{\link{plot}}
#'@param \dots any other variable
#'@author Pulkit Mehrotra
-#'@seealso \code{\link{plot}} \code{\link{EconomicDrawdown}} \code{\link{EDDCOPS}}
+#'@seealso \code{\link{EconomicDrawdown}} \code{\link{EDDCOPS}}
#'\code{\link{rollDrawdown}} \code{\link{REDDCOPS}} \code{\link{rollEconomicMax}}
#'@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)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/AlphaDrawdown.Rd 2013-09-03 21:32:50 UTC (rev 2979)
@@ -65,7 +65,6 @@
2012.
}
\seealso{
- \code{\link{ES}} \code{\link{maxDrawdown}}
\code{\link{CdarMultiPath}} \code{\link{CDaR}}
\code{\link{MultiBetaDrawdown}}
\code{\link{BetaDrawdown}}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd 2013-09-03 21:32:50 UTC (rev 2979)
@@ -76,7 +76,6 @@
2012.
}
\seealso{
- \code{\link{ES}} \code{\link{maxDrawdown}}
\code{\link{CdarMultiPath}} \code{\link{AlphaDrawdown}}
\code{\link{MultiBetaDrawdown}} \code{\link{CDaR}}
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd 2013-09-03 21:32:50 UTC (rev 2979)
@@ -61,7 +61,6 @@
September 2012
}
\seealso{
- \code{\link{ES}} \code{\link{maxDrawdown}}
\code{\link{CDaR}} \code{\link{AlphaDrawdown}}
\code{\link{MultiBetaDrawdown}}
\code{\link{BetaDrawdown}}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-09-03 21:32:50 UTC (rev 2979)
@@ -90,7 +90,7 @@
}
\seealso{
\code{\link{BenchmarkSR}}
- \code{\link{chart.SRIndifference}} \code{\link{plot}}
+ \code{\link{chart.SRIndifference}}
\code{\link{plot}}
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd 2013-09-03 21:22:24 UTC (rev 2978)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd 2013-09-03 21:32:50 UTC (rev 2979)
@@ -82,12 +82,12 @@
Rule(January 1, 2013).
}
\seealso{
- \code{\link{plot}} \code{\link{table.Penance}}
- \code{\link{MaxDD}} \code{\link{TuW}}
+ \code{\link{table.Penance}} \code{\link{MaxDD}}
+ \code{\link{TuW}}
}
\keyword{distribution}
-\keyword{hplot}
\keyword{models}
\keyword{multivariate}
+\keyword{plot}
\keyword{ts}
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