Author: rossbennett34
Date: 2013-09-10 17:34:34 +0200 (Tue, 10 Sep 2013)
New Revision: 3042
Modified:
pkg/PortfolioAnalytics/R/optimize.portfolio.R
Log:
Adding code to optimize.portfolio for proportional transaction cost constraints.
Modified: pkg/PortfolioAnalytics/R/optimize.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/optimize.portfolio.R 2013-09-10 14:51:46 UTC (rev 3041)
+++ pkg/PortfolioAnalytics/R/optimize.portfolio.R 2013-09-10 15:34:34 UTC (rev 3042)
@@ -733,11 +733,23 @@
if("var" %in% names(moments)){
# Minimize variance if the only objective specified is variance
# Maximize Quadratic Utility if var and mean are specified as objectives
- if(!is.null(constraints$turnover_target)){
- qp_result <- gmv_opt_toc(R=R, constraints=constraints, moments=moments, lambda=lambda, target=target, init_weights=portfolio$assets)
- weights <- qp_result$weights
- obj_vals <- constrained_objective(w=weights, R=R, portfolio, trace=TRUE, normalize=FALSE)$objective_measures
- out <- list(weights=weights, objective_measures=obj_vals, opt_values=obj_vals, out=roi_result$out, call=call)
+ if(!is.null(constraints$turnover_target) | !is.null(constraints$ptc)){
+ if(!is.null(constraints$turnover_target) & !is.null(constraints$ptc)){
+ warning("Turnover and proportional transaction cost constraints detected, only running optimization for turnover constraint.")
+ constraints$ptc <- NULL
+ }
+ if(!is.null(constraints$turnover_target) & is.null(constraints$ptc)){
+ qp_result <- gmv_opt_toc(R=R, constraints=constraints, moments=moments, lambda=lambda, target=target, init_weights=portfolio$assets)
+ weights <- qp_result$weights
+ obj_vals <- constrained_objective(w=weights, R=R, portfolio, trace=TRUE, normalize=FALSE)$objective_measures
+ out <- list(weights=weights, objective_measures=obj_vals, opt_values=obj_vals, out=roi_result$out, call=call)
+ }
+ if(!is.null(constraints$ptc) & is.null(constraints$turnover_target)){
+ qp_result <- gmv_opt_ptc(R=R, constraints=constraints, moments=moments, lambda=lambda, target=target, init_weights=portfolio$assets)
+ weights <- qp_result$weights
+ obj_vals <- constrained_objective(w=weights, R=R, portfolio, trace=TRUE, normalize=FALSE)$objective_measures
+ out <- list(weights=weights, objective_measures=obj_vals, opt_values=obj_vals, out=roi_result$out, call=call)
+ }
} else {
roi_result <- gmv_opt(R=R, constraints=constraints, moments=moments, lambda=lambda, target=target, lambda_hhi=lambda_hhi, conc_groups=conc_groups)
weights <- roi_result$weights