[Returnanalytics-commits] r3114 - in pkg/Meucci: . R demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Sep 16 10:06:30 CEST 2013
Author: xavierv
Date: 2013-09-16 10:06:30 +0200 (Mon, 16 Sep 2013)
New Revision: 3114
Modified:
pkg/Meucci/R/BlackScholesCallPrice.R
pkg/Meucci/R/ButterflyTradingFunctions.R
pkg/Meucci/R/CentralAndStandardizedStatistics.R
pkg/Meucci/R/CovertCompoundedReturns2Price.R
pkg/Meucci/R/EfficientFrontierPrices.R
pkg/Meucci/R/EfficientFrontierReturns.R
pkg/Meucci/R/EfficientFrontierReturnsBenchmark.R
pkg/Meucci/R/FitExpectationMaximization.R
pkg/Meucci/R/FitMultivariateGarch.R
pkg/Meucci/R/FitOrnsteinUhlenbeck.R
pkg/Meucci/R/GenerateUniformDrawsOnUnitSphere.R
pkg/Meucci/R/InterExtrapolate.R
pkg/Meucci/R/InvariantProjection.R
pkg/Meucci/R/Log2Lin.R
pkg/Meucci/R/MaxRsqCS.R
pkg/Meucci/R/MaxRsqTS.R
pkg/Meucci/R/MvnRnd.R
pkg/Meucci/R/PerformIidAnalysis.R
pkg/Meucci/R/PlotCompositionEfficientFrontier.R
pkg/Meucci/R/PlotMarginalsNormalInverseWishart.R
pkg/Meucci/R/PlotVolVsCompositionEfficientFrontier.R
pkg/Meucci/R/QuantileMixture.R
pkg/Meucci/R/RandNormalInverseWishart.R
pkg/Meucci/R/SimulateJumpDiffusionMerton.R
pkg/Meucci/TODO
pkg/Meucci/demo/ButterflyTrading.R
pkg/Meucci/demo/S_AnalyzeNormalInverseWishart.R
pkg/Meucci/demo/S_BlackLittermanBasic.R
pkg/Meucci/demo/S_BondProjectionPricingNormal.R
pkg/Meucci/demo/S_BuyNHold.R
pkg/Meucci/demo/S_CPPI.R
pkg/Meucci/demo/S_CallsProjectionPricing.R
pkg/Meucci/demo/S_CornishFisher.R
pkg/Meucci/demo/S_CorrelationPriorUniform.R
pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R
pkg/Meucci/demo/S_CrossSectionIndustries.R
pkg/Meucci/demo/S_ESContributionFactors.R
pkg/Meucci/demo/S_ESContributionsStudentT.R
pkg/Meucci/demo/S_EigenvalueDispersion.R
pkg/Meucci/demo/S_EquityProjectionPricing.R
pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R
pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R
pkg/Meucci/demo/S_EstimateQuantileEvaluation.R
pkg/Meucci/demo/S_Estimator.R
pkg/Meucci/demo/S_EvaluationGeneric.R
pkg/Meucci/demo/S_ExactMeanAndCovariance.R
pkg/Meucci/demo/S_ExpectationMaximizationHighYield.R
pkg/Meucci/demo/S_ExtremeValueTheory.R
pkg/Meucci/demo/S_FactorAnalysisNotOk.R
pkg/Meucci/demo/S_FactorResidualCorrelation.R
pkg/Meucci/demo/S_FitSwapToStudentT.R
pkg/Meucci/demo/S_FixedIncomeInvariants.R
pkg/Meucci/demo/S_GenerateMixtureSample.R
pkg/Meucci/demo/S_HedgeOptions.R
pkg/Meucci/demo/S_HorizonEffect.R
pkg/Meucci/demo/S_InvestorsObjective.R
pkg/Meucci/demo/S_JumpDiffusionMerton.R
pkg/Meucci/demo/S_LinVsLogReturn.R
pkg/Meucci/demo/S_MarkovChainMonteCarlo.R
pkg/Meucci/demo/S_MaxMinVariance.R
pkg/Meucci/demo/S_MaximumLikelihood.R
pkg/Meucci/demo/S_MeanVarianceBenchmark.R
pkg/Meucci/demo/S_MeanVarianceCalls.R
pkg/Meucci/demo/S_MeanVarianceHorizon.R
pkg/Meucci/demo/S_MeanVarianceOptimization.R
pkg/Meucci/demo/S_MultiVarSqrRootRule.R
pkg/Meucci/demo/S_PasturMarchenko.R
pkg/Meucci/demo/S_ProjectNPriceMvGarch.R
pkg/Meucci/demo/S_ProjectSummaryStatistics.R
pkg/Meucci/demo/S_PureResidualBonds.R
pkg/Meucci/demo/S_ResidualAnalysisTheory.R
pkg/Meucci/demo/S_SelectionHeuristics.R
pkg/Meucci/demo/S_SemiCircular.R
pkg/Meucci/demo/S_ShrinkageEstimators.R
pkg/Meucci/demo/S_StatArbSwaps.R
pkg/Meucci/demo/S_TStatApprox.R
pkg/Meucci/demo/S_TimeSeriesConstrainedIndustries.R
pkg/Meucci/demo/S_TimeSeriesIndustries.R
pkg/Meucci/demo/S_TimeSeriesVsCrossSectionIndustries.R
pkg/Meucci/demo/S_Toeplitz.R
pkg/Meucci/demo/S_UtilityMax.R
pkg/Meucci/demo/S_VaRContributionsUniform.R
pkg/Meucci/demo/S_VolatilityClustering.R
pkg/Meucci/demo/S_Wishart.R
Log:
-changed how book is referenced
Modified: pkg/Meucci/R/BlackScholesCallPrice.R
===================================================================
--- pkg/Meucci/R/BlackScholesCallPrice.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/BlackScholesCallPrice.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -16,7 +16,7 @@
#' Code is vectorized, so the inputs can be vectors or matrices (but sizes must match)
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "BlackScholesCallPrice.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/ButterflyTradingFunctions.R
===================================================================
--- pkg/Meucci/R/ButterflyTradingFunctions.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/ButterflyTradingFunctions.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -15,10 +15,10 @@
#' Compute the pricing in the horizon, as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice",
#' The Risk Magazine, October 2008, p 100-106.
#'
-#' @param Butterflies : List of securities with some analytics computed.
-#' @param X : Panel of joint factors realizations
+#' @param Butterflies List of securities with some analytics computed.
+#' @param X Panel of joint factors realizations
#'
-#' @return PnL : Matrix of profit and loss scenarios
+#' @return PnL Matrix of profit and loss scenarios
#'
#' @references
#' A. Meucci, "Fully Flexible Views: Theory and Practice" \url{http://www.symmys.com/node/158}
Modified: pkg/Meucci/R/CentralAndStandardizedStatistics.R
===================================================================
--- pkg/Meucci/R/CentralAndStandardizedStatistics.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/CentralAndStandardizedStatistics.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -8,7 +8,7 @@
#' @return mu : [vector] (1 x N) central moments up to order N
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "CentralAndStandardizedStatistics.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/CovertCompoundedReturns2Price.R
===================================================================
--- pkg/Meucci/R/CovertCompoundedReturns2Price.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/CovertCompoundedReturns2Price.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -9,7 +9,7 @@
#' @return Cov_Prices : [matrix] (N x N) covariance matrix of prices
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See (6.77)-(6.79) in "Risk and Asset Allocation"-Springer (2005), by A. Meucci
#' See Meucci's script for "ConvertCompoundedReturns2Price.m"
#'
Modified: pkg/Meucci/R/EfficientFrontierPrices.R
===================================================================
--- pkg/Meucci/R/EfficientFrontierPrices.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/EfficientFrontierPrices.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -12,7 +12,7 @@
#' @return Composition : [matrix] (NumPortf x N) optimal portfolios
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "EfficientFrontierReturns.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/EfficientFrontierReturns.R
===================================================================
--- pkg/Meucci/R/EfficientFrontierReturns.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/EfficientFrontierReturns.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -11,7 +11,7 @@
#' @return Composition : [matrix] (NumPortf x N) optimal portfolios
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "EfficientFrontierReturns.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/EfficientFrontierReturnsBenchmark.R
===================================================================
--- pkg/Meucci/R/EfficientFrontierReturnsBenchmark.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/EfficientFrontierReturnsBenchmark.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -12,7 +12,7 @@
#' @return Composition : [matrix] (NumPortf x N) optimal portfolios
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "EfficientFrontierReturnsBenchmark.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/FitExpectationMaximization.R
===================================================================
--- pkg/Meucci/R/FitExpectationMaximization.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/FitExpectationMaximization.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -9,7 +9,7 @@
#' @return CountLoop : [scalar] number of iterations of the algorithm
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "FitExpectationMaximization.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/FitMultivariateGarch.R
===================================================================
--- pkg/Meucci/R/FitMultivariateGarch.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/FitMultivariateGarch.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -14,7 +14,7 @@
#' @note Initially written by Olivier Ledoit and Michael Wolf
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "FitMultivariateGarch.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
@@ -127,7 +127,7 @@
#' Difference with garch1f: errors come from the score alone
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "FitMultivariateGarch.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
@@ -390,7 +390,7 @@
#' Steepest Ascent on boundary, Hessian off boundary, no grid search
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "FitMultivariateGarch.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/FitOrnsteinUhlenbeck.R
===================================================================
--- pkg/Meucci/R/FitOrnsteinUhlenbeck.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/FitOrnsteinUhlenbeck.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -13,7 +13,7 @@
#' o dB_t: vector of Brownian motions
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "FitOrnsteinUhlenbeck.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/GenerateUniformDrawsOnUnitSphere.R
===================================================================
--- pkg/Meucci/R/GenerateUniformDrawsOnUnitSphere.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/GenerateUniformDrawsOnUnitSphere.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -12,7 +12,7 @@
# R is a distribution on (0,1) proportional to r^(Dims-1), i.e. the area of surface of radius r
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "GenerateUniformDrawsOnUnitSphere.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/InterExtrapolate.R
===================================================================
--- pkg/Meucci/R/InterExtrapolate.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/InterExtrapolate.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -22,7 +22,7 @@
#' Extrapolating long distances outside the support of V is rarely advisable.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "InterExtrapolate.R"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/InvariantProjection.R
===================================================================
--- pkg/Meucci/R/InvariantProjection.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/InvariantProjection.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -1,6 +1,6 @@
#' Transforms the first n raw moments into the first n central moments
#'
-#' step 6 of projection process:
+#' Step 6 of projection process:
#'
#' compute multi-period central moments.
#'
@@ -16,10 +16,8 @@
#' @author Ram Ahluwalia \email{rahluwalia@@gmail.com}
#'
#' @references
-#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management". See page 9
-#' Symmys site containing original MATLAB source code \url{http://www.symmys.com}
-#'
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management".
+#' Symmys site containing original MATLAB source code \url{http://symmys.com/node/170}.
#' See Meucci's script for "Raw2Central.m"
#' @export
Raw2Central = function( mu_ )
@@ -44,7 +42,7 @@
#' Map cumulative moments into raw moments.
#'
-#' step 5 of the projection process:
+#' Step 5 of the projection process:
#'
#' From the cumulants of Y we compute the raw non-central moments of Y
#'
@@ -61,11 +59,10 @@
#' @author Ram Ahluwalia \email{rahluwalia@@gmail.com}
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "Cumul2Raw.m".
#'
-#' A. Meucci - "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics" - formula (24)
-#' Symmys site containing original MATLAB source code \url{http://www.symmys.com/node/136}
+#' A. Meucci - "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics" - formula (24) \url{http://www.symmys.com/node/136}
#' @export
Cumul2Raw = function( ka )
@@ -106,7 +103,7 @@
#' A. Meucci - "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics" - formula (21)
#' Symmys site containing original MATLAB source code \url{http://www.symmys.com/node/136}
#'
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "Raw2Cumul.m"
#' @export
@@ -130,7 +127,7 @@
#' Transforms first n central moments into first n raw moments (first central moment defined as expectation)
#'
-#' step 2 of projection process: From the central moments of step 1, we compute the non-central moments. To do so we start
+#' Step 2 of projection process: From the central moments of step 1, we compute the non-central moments. To do so we start
#' with the first non-central moment and apply recursively an identity (formula 20)
#'
#' \deqn{ \tilde{ \mu }^{ \big(1\big) }_{X} \equiv \mu ^{\big(1\big)}_{X}
@@ -146,7 +143,7 @@
#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management". See page 10.
#' Symmys site containing original MATLAB source code \url{http://www.symmys.com}
#'
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "Central2Raw.m"
#' @export
Central2Raw = function( mu )
@@ -170,7 +167,7 @@
#' Compute summary stats
#'
-#' step 0 in projection process: Compute summary stats (mean, skew, kurtosis, etc.) of the invariant X-t
+#' Step 0 in projection process: Compute summary stats (mean, skew, kurtosis, etc.) of the invariant X-t
#' step 1 in the project process We collect the first 'n' central moments of the invariant X-t.
#'
#' @param X an invariant
Modified: pkg/Meucci/R/Log2Lin.R
===================================================================
--- pkg/Meucci/R/Log2Lin.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/Log2Lin.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -8,7 +8,7 @@
#' @return S : [matrix] (N x N)
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "Log2Lin.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/MaxRsqCS.R
===================================================================
--- pkg/Meucci/R/MaxRsqCS.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/MaxRsqCS.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -18,7 +18,7 @@
#' Initial code by Tai-Ho Wang
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "MaxRsqCS.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/MaxRsqTS.R
===================================================================
--- pkg/Meucci/R/MaxRsqTS.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/MaxRsqTS.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -18,7 +18,7 @@
#' Initial code by Tai-Ho Wang
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "MaxRsqTS.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/MvnRnd.R
===================================================================
--- pkg/Meucci/R/MvnRnd.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/MvnRnd.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -8,7 +8,7 @@
#' @return X : [matrix] (J x N) of drawsF_U : [vector] (J x 1) PDF values
#'
#' @references
-#' \url{http://symmys.com/node/170}, \url{http://www.symmys.com/node/162}{A. Meucci - "Simulations with Exact Means and Covariances", Risk, July 2009}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}., \url{http://www.symmys.com/node/162}{A. Meucci - "Simulations with Exact Means and Covariances", Risk, July 2009}
#' See Meucci's script for "MvnRnd.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com} and Ram Ahluwalia \email{rahluwalia@@gmail.com}
Modified: pkg/Meucci/R/PerformIidAnalysis.R
===================================================================
--- pkg/Meucci/R/PerformIidAnalysis.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/PerformIidAnalysis.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -11,7 +11,7 @@
# under i.i.d. the location-dispersion ellipsoid should be a circle
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "PerformIidAnalysis.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/PlotCompositionEfficientFrontier.R
===================================================================
--- pkg/Meucci/R/PlotCompositionEfficientFrontier.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/PlotCompositionEfficientFrontier.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -4,7 +4,7 @@
#' @param Portfolios : [matrix] (M x N) M portfolios of size N (weights)
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "PlotCompositionEfficientFrontier.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/PlotMarginalsNormalInverseWishart.R
===================================================================
--- pkg/Meucci/R/PlotMarginalsNormalInverseWishart.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/PlotMarginalsNormalInverseWishart.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -16,7 +16,7 @@
#' inv(Sigma) ~ W(Nu_0,inv(Sigma_0)/Nu_0)
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "QuantileMixture.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/PlotVolVsCompositionEfficientFrontier.R
===================================================================
--- pkg/Meucci/R/PlotVolVsCompositionEfficientFrontier.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/PlotVolVsCompositionEfficientFrontier.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -5,7 +5,7 @@
#' @param vol : [vector] (M x 1) of volatilities
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "PlotVolVsCompositionEfficientFrontier.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/QuantileMixture.R
===================================================================
--- pkg/Meucci/R/QuantileMixture.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/QuantileMixture.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -13,7 +13,7 @@
#' @return Q : [scalar] quantile
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "QuantileMixture.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/RandNormalInverseWishart.R
===================================================================
--- pkg/Meucci/R/RandNormalInverseWishart.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/RandNormalInverseWishart.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -17,7 +17,7 @@
#' inv(Sigma) ~ W(Nu_0,inv(Sigma_0)/Nu_0)
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "RandNormalInverseWishart.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/R/SimulateJumpDiffusionMerton.R
===================================================================
--- pkg/Meucci/R/SimulateJumpDiffusionMerton.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/R/SimulateJumpDiffusionMerton.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -13,7 +13,7 @@
#' @return X : [matrix] (J x length(ts)) of simulations
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "SimulateJumpDiffusionMerton.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/TODO
===================================================================
--- pkg/Meucci/TODO 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/TODO 2013-09-16 08:06:30 UTC (rev 3114)
@@ -11,5 +11,5 @@
* Still 2 scripts left from the book: S_MeanVarianceCallsRobust from chapter 9 and S_OptionReplication from chapter 6
* Improve documentation for every script from the book:
- find the exercises and sections they come from
- - write down the formulas
-
+ - write down the equations
+* Not Sure if EntropyProg returns what it should with empty matrices as arguments for the constraints
Modified: pkg/Meucci/demo/ButterflyTrading.R
===================================================================
--- pkg/Meucci/demo/ButterflyTrading.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/ButterflyTrading.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -77,7 +77,7 @@
# .2 is the confidence on View 1; .25 is the confidence on View 2; .2 is the confidence on View 3
c = cbind( 0.35 , 0.2 , 0.25 , 0.2 )
-p_= cbind( p , p_1 , p_2 , p_3 ) %*% t(c) # compute the uncertainty weighted posterior probabilities
+p_= cbind( factorsDistribution$p , p_1 , p_2 , p_3 ) %*% t(c) # compute the uncertainty weighted posterior probabilities
###########################################################################################################
Modified: pkg/Meucci/demo/S_AnalyzeNormalInverseWishart.R
===================================================================
--- pkg/Meucci/demo/S_AnalyzeNormalInverseWishart.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_AnalyzeNormalInverseWishart.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -4,7 +4,7 @@
#' Described in A. Meucci,"Risk and Asset Allocation",Springer, 2005, Chapter 7.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_AnalyzeNormalInverseWishart.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_BlackLittermanBasic.R
===================================================================
--- pkg/Meucci/demo/S_BlackLittermanBasic.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_BlackLittermanBasic.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -5,7 +5,7 @@
#' Springer, 2005, Chapter 9.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_BlackLittermanBasic.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_BondProjectionPricingNormal.R
===================================================================
--- pkg/Meucci/demo/S_BondProjectionPricingNormal.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_BondProjectionPricingNormal.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -5,7 +5,7 @@
#'"Risk and Asset Allocation", Springer, 2005, Chapter 3.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_BondProjectionPricingNormal.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_BuyNHold.R
===================================================================
--- pkg/Meucci/demo/S_BuyNHold.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_BuyNHold.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#' Springer, 2005, Chapter 6.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_BuyNHold.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_CPPI.R
===================================================================
--- pkg/Meucci/demo/S_CPPI.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_CPPI.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#' A. Meucci,"Risk and Asset Allocation", Springer, 2005, Chapter 6.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_CPPI.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_CallsProjectionPricing.R
===================================================================
--- pkg/Meucci/demo/S_CallsProjectionPricing.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_CallsProjectionPricing.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -3,7 +3,7 @@
#'"Risk and Asset Allocation", Springer, 2005, Chapter 3.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_CallsProjectionPricing.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_CornishFisher.R
===================================================================
--- pkg/Meucci/demo/S_CornishFisher.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_CornishFisher.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#'assumptions as described in A. Meucci,"Risk and Asset Allocation", Springer, 2005, Chapter 5.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_CornishFisher.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_CorrelationPriorUniform.R
===================================================================
--- pkg/Meucci/demo/S_CorrelationPriorUniform.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_CorrelationPriorUniform.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -3,7 +3,7 @@
#' Chapter 7.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_CorrelationPriorUniform.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R
===================================================================
--- pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_CrossSectionConstrainedIndustries.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -3,7 +3,7 @@
#' Springer, 2005, Chapter 3.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_CrossSectionConstrainedIndustries.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_CrossSectionIndustries.R
===================================================================
--- pkg/Meucci/demo/S_CrossSectionIndustries.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_CrossSectionIndustries.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#' "Risk and Asset Allocation", Springer, 2005, Chapter 3.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_CrossSectionIndustries.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_ESContributionFactors.R
===================================================================
--- pkg/Meucci/demo/S_ESContributionFactors.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_ESContributionFactors.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -5,7 +5,7 @@
#' Springer, 2005, Chapter 5.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_ESContributionFactors.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_ESContributionsStudentT.R
===================================================================
--- pkg/Meucci/demo/S_ESContributionsStudentT.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_ESContributionsStudentT.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -6,7 +6,7 @@
#' Described in A. Meucci,"Risk and Asset Allocation",Springer, 2005, Chapter 5.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_ESContributionsStudentT.m"
#
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_EigenvalueDispersion.R
===================================================================
--- pkg/Meucci/demo/S_EigenvalueDispersion.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_EigenvalueDispersion.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#' "Risk and Asset Allocation", Springer, 2005, Chapter 4.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_EigenValueDispersion.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_EquityProjectionPricing.R
===================================================================
--- pkg/Meucci/demo/S_EquityProjectionPricing.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_EquityProjectionPricing.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -6,7 +6,7 @@
#' chapter 3.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_EquitiesInvariance.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R
===================================================================
--- pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_EstimateExpectedValueEvaluation.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#' and inefficiency, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 4.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_EigenValueDispersion.R"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R
===================================================================
--- pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_EstimateMomentsComboEvaluation.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#'bias and inefficiency as described in A. Meucci,"Risk and Asset Allocation", Springer, 2005, Chapter 4.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_EstimateMomentsComboEvaluation.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_EstimateQuantileEvaluation.R
===================================================================
--- pkg/Meucci/demo/S_EstimateQuantileEvaluation.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_EstimateQuantileEvaluation.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -1,7 +1,7 @@
#'This script familiarizes the user with the evaluation of an estimator:replicability, loss, error,
#'bias and inefficiency as described in A. Meucci,"Risk and Asset Allocation", Springer, 2005, Chapter 4.
#'
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_EstimateQuantileEvaluation.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_Estimator.R
===================================================================
--- pkg/Meucci/demo/S_Estimator.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_Estimator.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -2,7 +2,7 @@
#', as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 4.
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for "S_EigenValueprintersion.R"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
Modified: pkg/Meucci/demo/S_EvaluationGeneric.R
===================================================================
--- pkg/Meucci/demo/S_EvaluationGeneric.R 2013-09-16 05:19:14 UTC (rev 3113)
+++ pkg/Meucci/demo/S_EvaluationGeneric.R 2013-09-16 08:06:30 UTC (rev 3114)
@@ -9,7 +9,7 @@
#' compute optimal allocation, only possible if hidden parameters were known: thus it is not a "decision", we call it a "choice"
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for " EvaluationChoiceOptimal.m"
#'
#' @author Xavier Valls \email{flamejat@@gmail.com}
@@ -40,7 +40,7 @@
#' @return CertaintyEquivalent : [scalar]
#'
#' @references
-#' \url{http://symmys.com/node/170}
+#' A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{http://symmys.com/node/170}.
#' See Meucci's script for " EvaluationSatisfaction.m"
#'
[TRUNCATED]
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svnlook diff /svnroot/returnanalytics -r 3114
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