[Returnanalytics-commits] r3056 - in pkg/Meucci: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Sep 11 12:11:09 CEST 2013
Author: xavierv
Date: 2013-09-11 12:11:08 +0200 (Wed, 11 Sep 2013)
New Revision: 3056
Added:
pkg/Meucci/man/PlotFrontier.Rd
pkg/Meucci/man/PlotResults.Rd
Modified:
pkg/Meucci/NAMESPACE
pkg/Meucci/R/RankingInformation.R
pkg/Meucci/man/PlotCompositionEfficientFrontier.Rd
pkg/Meucci/man/PlotDistributions.Rd
pkg/Meucci/man/Prior2Posterior.Rd
pkg/Meucci/man/RIEfficientFrontier.Rd
pkg/Meucci/man/ViewRanking.Rd
Log:
-updated documentation for the Ranking information example from the Historical Scenarios paper
Modified: pkg/Meucci/NAMESPACE
===================================================================
--- pkg/Meucci/NAMESPACE 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/NAMESPACE 2013-09-11 10:11:08 UTC (rev 3056)
@@ -45,6 +45,7 @@
export(PerformIidAnalysis)
export(PlotCompositionEfficientFrontier)
export(PlotDistributions)
+export(PlotFrontier)
export(PlotMarginalsNormalInverseWishart)
export(PlotVolVsCompositionEfficientFrontier)
export(Prior2Posterior)
Modified: pkg/Meucci/R/RankingInformation.R
===================================================================
--- pkg/Meucci/R/RankingInformation.R 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/R/RankingInformation.R 2013-09-11 10:11:08 UTC (rev 3056)
@@ -84,8 +84,9 @@
#'
#' @author Ram Ahluwalia \email{ram@@wingedfootcapital.com}
#' @export EntropyProg
-#' @example ViewRanking( X , p , Lower = c(3,4) , Upper = c(4,5) ) # two inequality views: asset 3 < asset 4 returns, and asset 4 < asset 5 returns
+# example ViewRanking( X , p , Lower = c(3,4) , Upper = c(4,5) ) # two inequality views: asset 3 < asset 4 returns, and asset 4 < asset 5 returns
+
ViewRanking = function( X , p , Lower , Upper )
{
library( matlab )
Modified: pkg/Meucci/man/PlotCompositionEfficientFrontier.Rd
===================================================================
--- pkg/Meucci/man/PlotCompositionEfficientFrontier.Rd 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/man/PlotCompositionEfficientFrontier.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -3,7 +3,7 @@
\title{Plot the efficient frontier, as described in A. Meucci,
"Risk and Asset Allocation", Springer, 2005.}
\usage{
- PlotCompositionEfficientFrontier(Portfolios)
+ PlotCompositionEfficientFrontier(Portfolios, s, e)
}
\arguments{
\item{Portfolios}{: [matrix] (M x N) M portfolios of size
Modified: pkg/Meucci/man/PlotDistributions.Rd
===================================================================
--- pkg/Meucci/man/PlotDistributions.Rd 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/man/PlotDistributions.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -29,4 +29,9 @@
\author{
Ram Ahluwalia \email{ram at wingedfootcapital.com}
}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "PlotDistributions.m"
+}
Added: pkg/Meucci/man/PlotFrontier.Rd
===================================================================
--- pkg/Meucci/man/PlotFrontier.Rd (rev 0)
+++ pkg/Meucci/man/PlotFrontier.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -0,0 +1,32 @@
+\name{PlotFrontier}
+\alias{PlotFrontier}
+\title{Plots the efficient frontier, as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine,
+ October 2008, p 100-106.}
+\usage{
+ PlotFrontier(e, s, w)
+}
+\arguments{
+ \item{e}{the NumPortf x 1 matrix of expected returns for
+ each portfolio along the efficient frontier}
+
+ \item{s}{the NumPortf x 1 matrix of standard deviation of
+ returns for each portfolio along the efficient frontier}
+
+ \item{w}{the NumPortf x N matrix of compositions
+ (security weights) for each portfolio along the efficient
+ frontier}
+}
+\description{
+ Plots the efficient frontier, as it appears in A. Meucci,
+ "Fully Flexible Views: Theory and Practice", The Risk
+ Magazine, October 2008, p 100-106.
+}
+\author{
+ Xavier Valls \email{flamejat at gmail.com}
+}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "RankingInformation/PlotFrontier.m"
+}
+
Added: pkg/Meucci/man/PlotResults.Rd
===================================================================
--- pkg/Meucci/man/PlotResults.Rd (rev 0)
+++ pkg/Meucci/man/PlotResults.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -0,0 +1,40 @@
+\name{PlotResults}
+\alias{PlotResults}
+\title{Plots the results of computing the efficient frontier (Expected returns and frontier), as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine,
+October 2008, p 100-106.}
+\usage{
+ PlotResults(e, s, w, M, Lower = NULL, Upper = NULL)
+}
+\arguments{
+ \item{e}{the NumPortf x 1 matrix of expected returns for
+ each portfolio along the efficient frontier}
+
+ \item{s}{the NumPortf x 1 matrix of standard deviation of
+ returns for each portfolio along the efficient frontier}
+
+ \item{w}{the NumPortf x N matrix of compositions
+ (security weights) for each portfolio along the efficient
+ frontier}
+
+ \item{M}{the NumPortf x 1 vector of expected returns for
+ each asset}
+
+ \item{Lower}{constraints}
+
+ \item{Upper}{constraints}
+}
+\description{
+ Plots the results of computing the efficient frontier
+ (Expected returns and frontier), as it appears in A.
+ Meucci, "Fully Flexible Views: Theory and Practice", The
+ Risk Magazine, October 2008, p 100-106.
+}
+\author{
+ Xavier Valls \email{flamejat at gmail.com}
+}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "RankingInformation/PlotResults.m"
+}
+
Modified: pkg/Meucci/man/Prior2Posterior.Rd
===================================================================
--- pkg/Meucci/man/Prior2Posterior.Rd 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/man/Prior2Posterior.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -1,53 +1,53 @@
-\name{Prior2Posterior}
-\alias{Prior2Posterior}
-\title{Calculate the full-confidence posterior distributions of Mu and Sigma}
-\usage{
- Prior2Posterior(M, Q, M_Q, S, G, S_G)
-}
-\arguments{
- \item{M}{a numeric vector with the Mu of the normal
- reference model}
-
- \item{Q}{a numeric vector used to construct a view on
- expectation of the linear combination QX}
-
- \item{M_Q}{a numeric vector with the view of the
- expectations of QX}
-
- \item{S}{a covariance matrix for the normal reference
- model}
-
- \item{G}{a numeric vector used to construct a view on
- covariance of the linear combination GX}
-
- \item{S_G}{a numeric with the expectation associated with
- the covariance of the linear combination GX}
-}
-\value{
- a list with
-
- M_ a numeric vector with the full-confidence posterior
- distribution of Mu
-
- S_ a covariance matrix with the full-confidence posterior
- distribution of Sigma
-}
-\description{
- \deqn{ \tilde{ \mu } \equiv \mu + \Sigma Q' {\big(Q
- \Sigma Q' \big)}^{-1} \big( \tilde{\mu}_{Q} - Q \mu
- \big), \\ \tilde{ \Sigma } \equiv \Sigma + \Sigma G'
- \big({\big(G \Sigma G' \big)}^{-1} \tilde{ \Sigma }_G
- {\big(G \Sigma G' \big)}^{-1} - {\big(G \Sigma G'
- \big)}^{-1} \big) G \Sigma }
-}
-\author{
- Ram Ahluwalia \email{ram at wingedfootcapital.com}
-}
-\references{
- \url{http://www.symmys.com}
- \url{http://ssrn.com/abstract=1213325} A. Meucci - "Fully
- Flexible Views: Theory and Practice". See formula (21)
- and (22) on page 7 See Meucci script Prior2Posterior.m
- attached to Entropy Pooling Paper
-}
-
+\name{Prior2Posterior}
+\alias{Prior2Posterior}
+\title{Calculate the full-confidence posterior distributions of Mu and Sigma}
+\usage{
+ Prior2Posterior(M, Q, M_Q, S, G, S_G)
+}
+\arguments{
+ \item{M}{a numeric vector with the Mu of the normal
+ reference model}
+
+ \item{Q}{a numeric vector used to construct a view on
+ expectation of the linear combination QX}
+
+ \item{M_Q}{a numeric vector with the view of the
+ expectations of QX}
+
+ \item{S}{a covariance matrix for the normal reference
+ model}
+
+ \item{G}{a numeric vector used to construct a view on
+ covariance of the linear combination GX}
+
+ \item{S_G}{a numeric with the expectation associated with
+ the covariance of the linear combination GX}
+}
+\value{
+ a list with
+
+ M_ a numeric vector with the full-confidence posterior
+ distribution of Mu
+
+ S_ a covariance matrix with the full-confidence posterior
+ distribution of Sigma
+}
+\description{
+ \deqn{ \tilde{ \mu } \equiv \mu + \Sigma Q' {\big(Q
+ \Sigma Q' \big)}^{-1} \big( \tilde{\mu}_{Q} - Q \mu
+ \big), \\ \tilde{ \Sigma } \equiv \Sigma + \Sigma G'
+ \big({\big(G \Sigma G' \big)}^{-1} \tilde{ \Sigma }_G
+ {\big(G \Sigma G' \big)}^{-1} - {\big(G \Sigma G'
+ \big)}^{-1} \big) G \Sigma }
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ \url{http://www.symmys.com/node/158}
+ \url{http://ssrn.com/abstract=1213325} A. Meucci - "Fully
+ Flexible Views: Theory and Practice". See formula (21)
+ and (22) on page 7 See Meucci script Prior2Posterior.m
+ attached to Entropy Pooling Paper
+}
+
Modified: pkg/Meucci/man/RIEfficientFrontier.Rd
===================================================================
--- pkg/Meucci/man/RIEfficientFrontier.Rd 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/man/RIEfficientFrontier.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -1,6 +1,9 @@
\name{RIEfficientFrontier}
\alias{RIEfficientFrontier}
-\title{Generates an efficient frontier based on Meucci's Ranking Information version with the following inputs}
+\title{Generates an efficient frontier based on Meucci's Ranking Information version and returns a A list with
+NumPortf efficient portfolios whos returns are equally spaced along the whole range of the efficient frontier,
+as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008,
+p 100-106.}
\usage{
RIEfficientFrontier(X, p, Options)
}
@@ -14,20 +17,32 @@
\item{Options}{a list of options....TBD}
}
\value{
- A list with NumPortf efficient portfolios whos returns
- are equally spaced along the whole range of the efficient
- frontier Exps the NumPortf x 1 vector of expected returns
- for each asset Covs the NumPortf x N vector of security
- volatilities along the efficient frontier w the NumPortf
- x N matrix of compositions (security weights) for each
- portfolio along the efficient frontier e the NumPortf x 1
- matrix of expected returns for each portfolio along the
- efficient frontier s the NumPortf x 1 matrix of standard
- deviation of returns for each portfolio along the
- efficient frontier
+ Exps the NumPortf x 1 vector of expected returns for each
+ asset
+
+ Covs the NumPortf x N vector of security volatilities
+ along the efficient frontier
+
+ w the NumPortf x N matrix of compositions (security
+ weights) for each portfolio along the efficient frontier
+
+ e the NumPortf x 1 matrix of expected returns for each
+ portfolio along the efficient frontier
+
+ s the NumPortf x 1 matrix of standard deviation of
+ returns for each portfolio along the efficient frontier
}
\description{
- Generates an efficient frontier based on Meucci's Ranking
- Information version with the following inputs
+ Most recent version of article and MATLAB code available
+ at http://www.symmys.com/node/158
}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com} and
+ Xavier Valls \email{flamejat at gmail.com}
+}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "RankingInformation/EfficientFrontier.m"
+}
Modified: pkg/Meucci/man/ViewRanking.Rd
===================================================================
--- pkg/Meucci/man/ViewRanking.Rd 2013-09-11 10:09:49 UTC (rev 3055)
+++ pkg/Meucci/man/ViewRanking.Rd 2013-09-11 10:11:08 UTC (rev 3056)
@@ -1,23 +1,35 @@
-\name{ViewRanking}
-\alias{ViewRanking}
-\title{view the rankings}
-\usage{
- ViewRanking(X, p, Lower, Upper)
-}
-\arguments{
- \item{X}{a vector containing returns for all the asset
- classes}
-
- \item{p}{a vector containing the prior probability
- values}
-
- \item{Lower}{a vector of indexes indicating which column
- is lower than the corresponding column number in Upper}
-
- \item{Upper}{a vector of indexes indicating which column
- is lower than the corresponding column number in Upper}
-}
-\description{
- view the rankings
-}
-
+\name{ViewRanking}
+\alias{ViewRanking}
+\title{Computes posterior probabilities to view the rankings, as it appears in A. Meucci,
+"Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106.}
+\usage{
+ ViewRanking(X, p, Lower, Upper)
+}
+\arguments{
+ \item{X}{a vector containing returns for all the asset
+ classes}
+
+ \item{p}{a vector containing the prior probability
+ values}
+
+ \item{Lower}{a vector of indexes indicating which column
+ is lower than the corresponding column number in Upper}
+
+ \item{Upper}{a vector of indexes indicating which column
+ is lower than the corresponding column number in Upper}
+}
+\description{
+ Computes posterior probabilities to view the rankings, as
+ it appears in A. Meucci, "Fully Flexible Views: Theory
+ and Practice", The Risk Magazine, October 2008, p
+ 100-106.
+}
+\author{
+ Ram Ahluwalia \email{ram at wingedfootcapital.com}
+}
+\references{
+ A. Meucci, "Fully Flexible Views: Theory and Practice"
+ \url{http://www.symmys.com/node/158} See Meucci script
+ for "RankingInformation/ViewRanking.m"
+}
+
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