[Returnanalytics-commits] r3120 - in pkg/PortfolioAnalytics: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Sep 16 21:54:19 CEST 2013
Author: rossbennett34
Date: 2013-09-16 21:54:19 +0200 (Mon, 16 Sep 2013)
New Revision: 3120
Modified:
pkg/PortfolioAnalytics/NAMESPACE
pkg/PortfolioAnalytics/R/chart.RiskReward.R
pkg/PortfolioAnalytics/R/chart.Weights.R
pkg/PortfolioAnalytics/R/charts.DE.R
pkg/PortfolioAnalytics/R/charts.GenSA.R
pkg/PortfolioAnalytics/R/charts.PSO.R
pkg/PortfolioAnalytics/R/charts.ROI.R
pkg/PortfolioAnalytics/R/charts.RP.R
pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
pkg/PortfolioAnalytics/R/charts.groups.R
pkg/PortfolioAnalytics/R/charts.risk.R
pkg/PortfolioAnalytics/R/constrained_objective.R
pkg/PortfolioAnalytics/R/constraint_fn_map.R
pkg/PortfolioAnalytics/R/constraints.R
pkg/PortfolioAnalytics/R/constraintsFUN.R
pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
pkg/PortfolioAnalytics/R/extractstats.R
pkg/PortfolioAnalytics/R/objective.R
pkg/PortfolioAnalytics/R/optFUN.R
pkg/PortfolioAnalytics/R/optimize.portfolio.R
pkg/PortfolioAnalytics/R/portfolio.R
pkg/PortfolioAnalytics/R/random_portfolios.R
pkg/PortfolioAnalytics/R/trailingFUN.R
pkg/PortfolioAnalytics/man/add.constraint.Rd
pkg/PortfolioAnalytics/man/add.objective.Rd
pkg/PortfolioAnalytics/man/barplotGroupWeights.Rd
pkg/PortfolioAnalytics/man/box_constraint.Rd
pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
pkg/PortfolioAnalytics/man/chart.EfficientFrontierOverlay.Rd
pkg/PortfolioAnalytics/man/chart.GroupWeights.Rd
pkg/PortfolioAnalytics/man/chart.RiskBudget.opt.list.Rd
pkg/PortfolioAnalytics/man/chart.RiskBudget.optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/chart.RiskReward.Rd
pkg/PortfolioAnalytics/man/chart.Weights.EF.Rd
pkg/PortfolioAnalytics/man/chart.Weights.Rd
pkg/PortfolioAnalytics/man/constrained_objective.Rd
pkg/PortfolioAnalytics/man/constraint.Rd
pkg/PortfolioAnalytics/man/constraint_v2.Rd
pkg/PortfolioAnalytics/man/create.EfficientFrontier.Rd
pkg/PortfolioAnalytics/man/diversification.Rd
pkg/PortfolioAnalytics/man/diversification_constraint.Rd
pkg/PortfolioAnalytics/man/etl_milp_opt.Rd
pkg/PortfolioAnalytics/man/etl_opt.Rd
pkg/PortfolioAnalytics/man/extractEfficientFrontier.Rd
pkg/PortfolioAnalytics/man/extractGroups.Rd
pkg/PortfolioAnalytics/man/factor_exposure_constraint.Rd
pkg/PortfolioAnalytics/man/fn_map.Rd
pkg/PortfolioAnalytics/man/get_constraints.Rd
pkg/PortfolioAnalytics/man/gmv_opt_toc.Rd
pkg/PortfolioAnalytics/man/group_constraint.Rd
pkg/PortfolioAnalytics/man/group_fail.Rd
pkg/PortfolioAnalytics/man/insert_constraints.Rd
pkg/PortfolioAnalytics/man/insert_objectives.Rd
pkg/PortfolioAnalytics/man/maxret_milp_opt.Rd
pkg/PortfolioAnalytics/man/meanetl.efficient.frontier.Rd
pkg/PortfolioAnalytics/man/meanvar.efficient.frontier.Rd
pkg/PortfolioAnalytics/man/minmax_objective.Rd
pkg/PortfolioAnalytics/man/optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/optimize.portfolio.rebalancing.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.DEoptim.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.GenSA.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.ROI.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.pso.Rd
pkg/PortfolioAnalytics/man/plot.optimize.portfolio.random.Rd
pkg/PortfolioAnalytics/man/portfolio.spec.Rd
pkg/PortfolioAnalytics/man/portfolio_risk_objective.Rd
pkg/PortfolioAnalytics/man/position_limit_constraint.Rd
pkg/PortfolioAnalytics/man/random_portfolios.Rd
pkg/PortfolioAnalytics/man/randomize_portfolio_v1.Rd
pkg/PortfolioAnalytics/man/return_constraint.Rd
pkg/PortfolioAnalytics/man/return_objective.Rd
pkg/PortfolioAnalytics/man/risk_budget_objective.Rd
pkg/PortfolioAnalytics/man/rp_grid.Rd
pkg/PortfolioAnalytics/man/rp_sample.Rd
pkg/PortfolioAnalytics/man/rp_simplex.Rd
pkg/PortfolioAnalytics/man/trailingFUN.Rd
pkg/PortfolioAnalytics/man/transaction_cost_constraint.Rd
pkg/PortfolioAnalytics/man/turnover_constraint.Rd
pkg/PortfolioAnalytics/man/turnover_objective.Rd
pkg/PortfolioAnalytics/man/weight_concentration_objective.Rd
pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd
Log:
Updating documentation files.
Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/NAMESPACE 2013-09-16 19:54:19 UTC (rev 3120)
@@ -27,11 +27,8 @@
export(factor_exposure_constraint)
export(fn_map)
export(generatesequence)
-export(get_constraints)
export(group_constraint)
-export(group_fail)
export(HHI)
-export(insert_constraints)
export(insert_objectives)
export(is.constraint)
export(is.objective)
Modified: pkg/PortfolioAnalytics/R/chart.RiskReward.R
===================================================================
--- pkg/PortfolioAnalytics/R/chart.RiskReward.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/chart.RiskReward.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -2,6 +2,9 @@
#' classic risk reward scatter
#'
+#' This function charts the \code{optimize.portfolio} object in risk-return space.
+#'
+#' @details
#' \code{neighbors} may be specified in three ways.
#' The first is as a single number of neighbors. This will extract the \code{neighbors} closest
#' portfolios in terms of the \code{out} numerical statistic.
@@ -11,25 +14,26 @@
#' This matrix should look like the output of \code{\link{extractStats}}, and should contain
#' \code{risk.col},\code{return.col}, and weights columns all properly named.
#'
-#' @param object optimal portfolio created by \code{\link{optimize.portfolio}}
-#' @param neighbors set of 'neighbor' portfolios to overplot, see Details
-#' @param \dots any other passthru parameters
-#' @param return.col string matching the objective of a 'return' objective, on vertical axis
-#' @param risk.col string matching the objective of a 'risk' objective, on horizontal axis
-#' @param chart.assets TRUE/FALSE. Includes a risk reward scatter of the assets in the chart
-#' @param element.color color for the default plot scatter points
-#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
-#' @param xlim set the x-axis limit, same as in \code{\link{plot}}
-#' @param ylim set the y-axis limit, same as in \code{\link{plot}}
+#' @param object optimal portfolio created by \code{\link{optimize.portfolio}}.
+#' @param neighbors set of 'neighbor' portfolios to overplot, see Details.
+#' @param \dots any other passthru parameters.
+#' @param return.col string matching the objective of a 'return' objective, on vertical axis.
+#' @param risk.col string matching the objective of a 'risk' objective, on horizontal axis.
+#' @param chart.assets TRUE/FALSE. Includes a risk reward scatter of the assets in the chart.
+#' @param element.color color for the default plot scatter points.
+#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}.
+#' @param xlim set the x-axis limit, same as in \code{\link{plot}}.
+#' @param ylim set the y-axis limit, same as in \code{\link{plot}}.
#' @param rp TRUE/FALSE to generate random portfolios to plot the feasible space
-#' @param main a main title for the plot
+#' @param main a main title for the plot.
#' @param labels.assets TRUE/FALSE to include the names in the plot.
#' @param pch.assets plotting character of the assets, same as in \code{\link{plot}}
-#' @param cex.assets A numerical value giving the amount by which the asset points should be magnified relative to the default.
-#' @param cex.lab A numerical value giving the amount by which the labels should be magnified relative to the default.
-#' @param colorset color palette or vector of colors to use
+#' @param cex.assets numerical value giving the amount by which the asset points should be magnified relative to the default.
+#' @param cex.lab numerical value giving the amount by which the labels should be magnified relative to the default.
+#' @param colorset color palette or vector of colors to use.
#' @seealso \code{\link{optimize.portfolio}}
#' @rdname chart.RiskReward
+#' @name chart.RiskReward
#' @export
chart.RiskReward <- function(object, ...){
UseMethod("chart.RiskReward")
Modified: pkg/PortfolioAnalytics/R/chart.Weights.R
===================================================================
--- pkg/PortfolioAnalytics/R/chart.Weights.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/chart.Weights.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -1,27 +1,27 @@
#' boxplot of the weights of the optimal portfolios
#'
-#' Chart the optimal weights and upper and lower bounds on weights of a portfolio run via \code{\link{optimize.portfolio}}
+#' Chart the optimal weights and upper and lower bounds on weights of a portfolio run via \code{\link{optimize.portfolio}}.
#'
-#' @param object optimal portfolio object created by \code{\link{optimize.portfolio}}
-#' @param neighbors set of 'neighbor' portfolios to overplot
-#' @param \dots any other passthru parameters
+#' @param object optimal portfolio object created by \code{\link{optimize.portfolio}}.
+#' @param neighbors set of 'neighbor' portfolios to overplot. See Details.
+#' @param \dots any other passthru parameters .
#' @param main an overall title for the plot: see \code{\link{title}}
#' @param las numeric in \{0,1,2,3\}; the style of axis labels
#' \describe{
-#' \item{0:}{always parallel to the axis [\emph{default}],}
+#' \item{0:}{always parallel to the axis,}
#' \item{1:}{always horizontal,}
#' \item{2:}{always perpendicular to the axis,}
-#' \item{3:}{always vertical.}
+#' \item{3:}{always vertical [\emph{default}].}
#' }
#' @param xlab a title for the x axis: see \code{\link{title}}
#' @param cex.lab The magnification to be used for x and y labels relative to the current setting of \code{cex}
-#' @param element.color color for the default plot lines
-#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
-#' @param colorset color palette or vector of colors to use
-#' @param legend.loc location of the legend. If NULL, the legend will not be plotted
-#' @param cex.legend The magnification to be used for legend annotation relative to the current setting of \code{cex}
-#' @param plot.type "line" or "barplot"
+#' @param element.color provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
+#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}.
+#' @param colorset color palette or vector of colors to use.
+#' @param legend.loc location of the legend. If NULL, the legend will not be plotted.
+#' @param cex.legend The magnification to be used for legend annotation relative to the current setting of \code{cex}.
+#' @param plot.type "line" or "barplot" to plot.
#' @seealso \code{\link{optimize.portfolio}}
#' @rdname chart.Weights
#' @name chart.Weights
Modified: pkg/PortfolioAnalytics/R/charts.DE.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.DE.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.DE.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -310,7 +310,7 @@
#' plot method for optimize.portfolio.DEoptim output
#'
-#' scatter and weights chart for DEoptim portfolio optimizations run with trace=TRUE
+#' Scatter and weights chart for DEoptim portfolio optimizations run with trace=TRUE
#'
#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
Modified: pkg/PortfolioAnalytics/R/charts.GenSA.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.GenSA.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.GenSA.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -154,10 +154,10 @@
#' plot method for optimize.portfolio.DEoptim output
#'
-#' scatter and weights chart for GenSA portfolio optimizations run with trace=TRUE
+#' Scatter and weights chart for GenSA portfolio optimizations run with trace=TRUE
#'
-#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
-#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
+#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights.
+#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights.
#'
#' @param x object created by \code{\link{optimize.portfolio}}
#' @param ... any other passthru parameters
Modified: pkg/PortfolioAnalytics/R/charts.PSO.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.PSO.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.PSO.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -212,10 +212,10 @@
#' plot method for optimize.portfolio.pso output
#'
-#' scatter and weights chart for pso portfolio optimizations run with trace=TRUE
+#' Scatter and weights chart for pso portfolio optimizations run with trace=TRUE
#'
-#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
-#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
+#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights.
+#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights.
#'
#' @param x object created by \code{\link{optimize.portfolio}}
#' @param ... any other passthru parameters
Modified: pkg/PortfolioAnalytics/R/charts.ROI.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.ROI.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.ROI.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -156,15 +156,12 @@
#' plot method for optimize.portfolio.ROI output
#'
-#' scatter and weights chart for ROI portfolio optimizations run with trace=TRUE
+#' Scatter and weights chart for ROI portfolio optimizations run with trace=TRUE
#'
-#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
-#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
-#'
#' The ROI optimizers do not store the portfolio weights like DEoptim or random
#' portfolios random portfolios can be generated for the scatter plot.
#'
-#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
+#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights.
#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
#'
#' @param x object created by \code{\link{optimize.portfolio}}
Modified: pkg/PortfolioAnalytics/R/charts.RP.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.RP.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.RP.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -267,10 +267,10 @@
#' plot method for optimize.portfolio.random output
#'
-#' scatter and weights chart for random portfolio optimizations run with trace=TRUE
+#' Scatter and weights chart for random portfolio optimizations run with trace=TRUE
#'
-#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights
-#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights
+#' \code{return.col} must be the name of a function used to compute the return metric on the random portfolio weights.
+#' \code{risk.col} must be the name of a function used to compute the risk metric on the random portfolio weights.
#'
#' \code{neighbors} may be specified in three ways.
#' The first is as a single number of neighbors. This will extract the \code{neighbors} closest
@@ -298,9 +298,9 @@
#' plot method for optimize.portfolio output
#'
-#' scatter and weights chart for portfolio optimization
+#' Scatter and weights chart for portfolio optimization
#'
-#' this is a fallback that will be called for classes of portfolio that do not have specific pre-existing plot methods.
+#' This is a fallback that will be called for classes of portfolio that do not have specific pre-existing plot methods.
#'
#' \code{neighbors} may be specified in three ways.
#' The first is as a single number of neighbors. This will extract the \code{neighbors} closest
Modified: pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.efficient.frontier.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.efficient.frontier.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -2,7 +2,7 @@
#' Chart the efficient frontier and risk-return scatter
#'
#' Chart the efficient frontier and risk-return scatter of the assets for
-#' optimize.portfolio. or efficient.frontier objects
+#' \code{optimize.portfolio} or \code{efficient.frontier} objects
#'
#' @details
#' For objects created by optimize.portfolio with 'DEoptim', 'random', or 'pso'
@@ -16,12 +16,12 @@
#' For objects created by optimize.portfolio with 'ROI' specified as the
#' optimize_method:
#' \itemize{
-#' \item The mean-StdDev or mean-etl efficient frontier can be plotted for optimal
+#' \item The mean-StdDev or mean-ETL efficient frontier can be plotted for optimal
#' portfolio objects created by \code{optimize.portfolio}.
#'
#' \item If \code{match.col="StdDev"}, the mean-StdDev efficient frontier is plotted.
#'
-#' \item If \code{match.col="ETL"} (also "ES" or "CVaR"), the mean-etl efficient frontier is plotted.
+#' \item If \code{match.col="ETL"} (also "ES" or "CVaR"), the mean-ETL efficient frontier is plotted.
#' }
#'
#' Note that \code{trace=TRUE} must be specified in \code{\link{optimize.portfolio}}
@@ -33,27 +33,27 @@
#' will be plotted using a risk free rate of 0. Set \code{rf=NULL} to omit
#' this from the plot.
#'
-#' @param object object of class optimize.portfolio.ROI to chart
+#' @param object object to chart.
#' @param \dots passthru parameters to \code{\link{plot}}
#' @param match.col string name of column to use for risk (horizontal axis).
#' \code{match.col} must match the name of an objective measure in the
#' \code{objective_measures} or \code{opt_values} slot in the object created
#' by \code{\link{optimize.portfolio}}.
-#' @param n.portfolios number of portfolios to use to plot the efficient frontier
-#' @param xlim set the x-axis limit, same as in \code{\link{plot}}
-#' @param ylim set the y-axis limit, same as in \code{\link{plot}}
-#' @param cex.axis A numerical value giving the amount by which the axis should be magnified relative to the default.
+#' @param n.portfolios number of portfolios to use to plot the efficient frontier.
+#' @param xlim set the x-axis limit, same as in \code{\link{plot}}.
+#' @param ylim set the y-axis limit, same as in \code{\link{plot}}.
+#' @param cex.axis numerical value giving the amount by which the axis should be magnified relative to the default.
#' @param element.color provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
-#' @param main a main title for the plot
-#' @param RAR.text Risk Adjusted Return ratio text to plot in the legend
-#' @param rf risk free rate. If \code{rf} is not null, the maximum Sharpe Ratio or modified Sharpe Ratio tangency portfolio will be plotted
-#' @param tangent.line TRUE/FALSE to plot the tangent line
-#' @param cex.legend A numerical value giving the amount by which the legend should be magnified relative to the default.
-#' @param chart.assets TRUE/FALSE to include the assets
+#' @param main a main title for the plot.
+#' @param RAR.text string name for risk adjusted return text to plot in the legend.
+#' @param rf risk free rate. If \code{rf} is not null, the maximum Sharpe Ratio or modified Sharpe Ratio tangency portfolio will be plotted.
+#' @param tangent.line TRUE/FALSE to plot the tangent line.
+#' @param cex.legend numerical value giving the amount by which the legend should be magnified relative to the default.
+#' @param chart.assets TRUE/FALSE to include the assets.
#' @param labels.assets TRUE/FALSE to include the asset names in the plot.
-#' \code{chart.assets} must be \code{TRUE} to plot asset names
-#' @param pch.assets plotting character of the assets, same as in \code{\link{plot}}
-#' @param cex.assets A numerical value giving the amount by which the asset points and labels should be magnified relative to the default.
+#' \code{chart.assets} must be \code{TRUE} to plot asset names.
+#' @param pch.assets plotting character of the assets, same as in \code{\link{plot}}.
+#' @param cex.assets numerical value giving the amount by which the asset points and labels should be magnified relative to the default.
#' @author Ross Bennett
#' @rdname chart.EfficientFrontier
#' @export
@@ -270,21 +270,21 @@
#' Chart weights along an efficient frontier
#'
-#' This function produces a stacked barplot of weights along the efficient frontier.
+#' This function produces a stacked barplot of weights along an efficient frontier.
#'
-#' @param object object of class \code{efficient.frontier} or \code{optimize.portfolio}
+#' @param object object of class \code{efficient.frontier} or \code{optimize.portfolio}.
#' @param \dots passthru parameters to \code{barplot}.
-#' @param colorset color palette to use
-#' @param n.portfolios number of portfolios to extract along the efficient frontier
-#' @param by.groups TRUE/FALSE. If TRUE, the group weights are charted
+#' @param colorset color palette or vector of colors to use.
+#' @param n.portfolios number of portfolios to extract along the efficient frontier.
+#' @param by.groups TRUE/FALSE. If TRUE, the group weights are charted.
#' @param match.col string name of column to use for risk (horizontal axis). Must match the name of an objective.
#' @param main title used in the plot.
-#' @param cex.lab The magnification to be used for x-axis and y-axis labels relative to the current setting of 'cex'
-#' @param cex.axis The magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to \code{\link{plot}}
-#' @param cex.legend The magnification to be used for sizing the legend relative to the current setting of 'cex', similar to \code{\link{plot}}
-#' @param legend.labels character vector to use for the legend labels
+#' @param cex.lab the magnification to be used for x-axis and y-axis labels relative to the current setting of 'cex'.
+#' @param cex.axis the magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to \code{\link{plot}}.
+#' @param cex.legend the magnification to be used for sizing the legend relative to the current setting of 'cex', similar to \code{\link{plot}}.
+#' @param legend.labels character vector to use for the legend labels.
#' @param element.color provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
-#' @param legend.loc NULL, "topright", "right", or "bottomright". If legend.loc is NULL, the legend will not be plotted
+#' @param legend.loc NULL, "topright", "right", or "bottomright". If legend.loc is NULL, the legend will not be plotted.
#' @author Ross Bennett
#' @rdname chart.Weights.EF
#' @export
@@ -515,7 +515,7 @@
#' Plot multiple efficient frontiers
#'
-#' Overlay the efficient frontiers of multiple portfolio objects on a single plot
+#' Overlay the efficient frontiers of multiple portfolio objects on a single plot.
#'
#' @param R an xts object of asset returns
#' @param portfolio_list list of portfolio objects created by \code{\link{portfolio.spec}}
@@ -524,23 +524,23 @@
#' This is only used for objects of class \code{optimize.portfolio}
#' @param match.col string name of column to use for risk (horizontal axis).
#' Must match the name of an objective.
-#' @param search_size passed to optimize.portfolio for type="DEoptim" or type="random"
+#' @param search_size passed to optimize.portfolio for type="DEoptim" or type="random".
#' @param main title used in the plot.
-#' @param cex.axis The magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to \code{\link{plot}}.
+#' @param cex.axis the magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to \code{\link{plot}}.
#' @param element.color provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
-#' @param legend.loc location of the legend; NULL, "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center"
-#' @param legend.labels character vector to use for the legend labels
+#' @param legend.loc location of the legend; NULL, "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center".
+#' @param legend.labels character vector to use for the legend labels.
#' @param cex.legend The magnification to be used for sizing the legend relative to the current setting of 'cex', similar to \code{\link{plot}}.
-#' @param xlim set the x-axis limit, same as in \code{\link{plot}}
-#' @param ylim set the y-axis limit, same as in \code{\link{plot}}
-#' @param ... passthrough parameters to \code{\link{plot}}
-#' @param chart.assets TRUE/FALSE to include the assets
-#' @param labels.assets TRUE/FALSE to include the asset names in the plot
-#' @param pch.assets plotting character of the assets, same as in \code{\link{plot}}
+#' @param xlim set the x-axis limit, same as in \code{\link{plot}}.
+#' @param ylim set the y-axis limit, same as in \code{\link{plot}}.
+#' @param \dots passthrough parameters to \code{\link{plot}}.
+#' @param chart.assets TRUE/FALSE to include the assets.
+#' @param labels.assets TRUE/FALSE to include the asset names in the plot.
+#' @param pch.assets plotting character of the assets, same as in \code{\link{plot}}.
#' @param cex.assets A numerical value giving the amount by which the asset points and labels should be magnified relative to the default.
-#' @param col vector of colors with length equal to the number of portfolios in \code{portfolio_list}
-#' @param lty vector of line types with length equal to the number of portfolios in \code{portfolio_list}
-#' @param lwd vector of line widths with length equal to the number of portfolios in \code{portfolio_list}
+#' @param col vector of colors with length equal to the number of portfolios in \code{portfolio_list}.
+#' @param lty vector of line types with length equal to the number of portfolios in \code{portfolio_list}.
+#' @param lwd vector of line widths with length equal to the number of portfolios in \code{portfolio_list}.
#' @author Ross Bennett
#' @export
chart.EfficientFrontierOverlay <- function(R, portfolio_list, type, n.portfolios=25, match.col="ES", search_size=2000, main="Efficient Frontiers", cex.axis=0.8, element.color="darkgray", legend.loc=NULL, legend.labels=NULL, cex.legend=0.8, xlim=NULL, ylim=NULL, ..., chart.assets=TRUE, labels.assets=TRUE, pch.assets=21, cex.assets=0.8, col=NULL, lty=NULL, lwd=NULL){
Modified: pkg/PortfolioAnalytics/R/charts.groups.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.groups.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.groups.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -1,25 +1,25 @@
#' Chart weights by group or category
#'
-#' @param object object of class \code{optimize.portfolio}
-#' @param ... passthrough parameters to \code{\link{plot}}
+#' @param object object of class \code{optimize.portfolio}.
+#' @param \dots passthrough parameters to \code{\link{plot}}.
#' @param grouping
#' \itemize{
-#' \item{groups: }{group the weights group constraints}
-#' \item{category_labels: }{group the weights by category_labels in portfolio object}
+#' \item{groups: }{group the weights by group constraints.}
+#' \item{category_labels: }{group the weights by category_labels in the \code{portfolio} object.}
#' }
-#' @param plot.type "line" or "barplot"
-#' @param main an overall title for the plot: see \code{\link{title}}
+#' @param plot.type "line" or "barplot".
+#' @param main an overall title for the plot: see \code{\link{title}}.
#' @param las numeric in \{0,1,2,3\}; the style of axis labels
#' \describe{
-#' \item{0:}{always parallel to the axis [\emph{default}],}
+#' \item{0:}{always parallel to the axis,}
#' \item{1:}{always horizontal,}
#' \item{2:}{always perpendicular to the axis,}
-#' \item{3:}{always vertical.}
+#' \item{3:}{always vertical[\emph{default}].}
#' }
-#' @param xlab a title for the x axis: see \code{\link{title}}
-#' @param cex.lab The magnification to be used for x and y labels relative to the current setting of \code{cex}
-#' @param element.color color for the default border and axis
-#' @param cex.axis The magnification to be used for x and y axis relative to the current setting of \code{cex}
+#' @param xlab a title for the x axis: see \code{\link{title}}.
+#' @param cex.lab the magnification to be used for x and y labels relative to the current setting of \code{cex}.
+#' @param element.color color for the default border and axis.
+#' @param cex.axis the magnification to be used for x and y axis relative to the current setting of \code{cex}.
#' @author Ross Bennett
#' @export
chart.GroupWeights <- function(object, ..., grouping=c("groups", "category"), plot.type="line", main="Group Weights", las=3, xlab=NULL, cex.lab=0.8, element.color="darkgray", cex.axis=0.8){
@@ -95,7 +95,7 @@
#' @param ... passthrough parameters to \code{\link{plot}}
#' @param grouping
#' \itemize{
-#' \item{groups: }{group the weights group constraints}
+#' \item{groups: }{group the weights by group constraints}
#' \item{category_labels: }{group the weights by category_labels in portfolio object}
#' }
#' @param main an overall title for the plot: see \code{\link{title}}
Modified: pkg/PortfolioAnalytics/R/charts.risk.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.risk.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/charts.risk.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -26,21 +26,21 @@
#' properly named contribution and pct_contrib columns.
#'
#' @param object optimal portfolio object created by \code{\link{optimize.portfolio}}
-#' @param neighbors risk contribution or pct_contrib of neighbor portfolios to be plotted
-#' @param ... passthrough parameters to \code{\link{plot}}
-#' @param risk.type plot risk contribution in absolute terms or percentage contribution
-#' @param main main title for the chart
-#' @param ylab label for the y-axis
-#' @param xlab a title for the x axis: see \code{\link{title}}
-#' @param cex.lab The magnification to be used for x and y labels relative to the current setting of \code{cex}
-#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
-#' @param element.color color for the default plot lines
+#' @param neighbors risk contribution or pct_contrib of neighbor portfolios to be plotted, see details.
+#' @param \dots passthrough parameters to \code{\link{plot}}.
+#' @param risk.type "absolute" or "percentage" to plot risk contribution in absolute terms or percentage contribution.
+#' @param main main title for the chart.
+#' @param ylab label for the y-axis.
+#' @param xlab label for the x-axis
+#' @param cex.lab the magnification to be used for x and y labels relative to the current setting of \code{cex}.
+#' @param cex.axis the magnification to be used for axis annotation relative to the current setting of \code{cex}.
+#' @param element.color provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
#' @param las numeric in \{0,1,2,3\}; the style of axis labels
#' \describe{
-#' \item{0:}{always parallel to the axis [\emph{default}],}
+#' \item{0:}{always parallel to the axis,}
#' \item{1:}{always horizontal,}
#' \item{2:}{always perpendicular to the axis,}
-#' \item{3:}{always vertical.}
+#' \item{3:}{always vertical [\emph{default}].}
#' }
#' @param ylim set the y-axis limit, same as in \code{\link{plot}}
#' @author Ross Bennett
@@ -206,17 +206,17 @@
#' This function charts the absolute contribution or percent contribution of
#' the resulting objective measures in the \code{opt.list} object.
#'
-#' @param object list of optimal portfolio objects created by \code{\link{optimizations.combine}}
-#' @param \dots any other passthru parameter
+#' @param object list of optimal portfolio objects created by \code{\link{optimizations.combine}}.
+#' @param \dots any other passthru parameter.
#' @param match.col string of risk column to match. The \code{opt.list} object
#' may contain risk budgets for ES or StdDev and this will match the proper
-#' column names (e.g. ES.contribution).
-#' @param risk.type "absolute" or "percentage" plot risk contribution in absolute terms or percentage contribution
-#' @param main main title for the chart
-#' @param plot.type "line" or "barplot"
-#' @param cex.axis The magnification to be used for axis annotation relative to the current setting of \code{cex}
-#' @param cex.lab The magnification to be used for axis annotation relative to the current setting of \code{cex}
-#' @param element.color color for the default plot lines
+#' column names of the objectives list outp (e.g. ES.contribution).
+#' @param risk.type "absolute" or "percentage" to plot risk contribution in absolute terms or percentage contribution.
+#' @param main main title for the chart.
+#' @param plot.type "line" or "barplot".
+#' @param cex.axis the magnification to be used for axis annotation relative to the current setting of \code{cex}.
+#' @param cex.lab the magnification to be used for axis annotation relative to the current setting of \code{cex}.
+#' @param element.color provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc.
#' @param las numeric in \{0,1,2,3\}; the style of axis labels
#' \describe{
#' \item{0:}{always parallel to the axis [\emph{default}],}
Modified: pkg/PortfolioAnalytics/R/constrained_objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/constrained_objective.R 2013-09-16 17:24:03 UTC (rev 3119)
+++ pkg/PortfolioAnalytics/R/constrained_objective.R 2013-09-16 19:54:19 UTC (rev 3120)
@@ -294,15 +294,15 @@
#' calculate a numeric return value for a portfolio based on a set of constraints and objectives
#'
-#' function to calculate a numeric return value for a portfolio based on a set of constraints,
-#' we'll try to make as few assumptions as possible, and only run objectives that are required by the user
+#' Function to calculate a numeric return value for a portfolio based on a set of constraints and objectives.
+#' We'll try to make as few assumptions as possible and only run objectives that are enabled by the user.
#'
#' If the user has passed in either min_sum or max_sum constraints for the portfolio, or both,
-#' and are using a numerical optimization method like DEoptim, and normalize=TRUE, the default,
+#' and are using a numerical optimization method like DEoptim, and normalize=TRUE,
#' we'll normalize the weights passed in to whichever boundary condition has been violated.
#' If using random portfolios, all the portfolios generated will meet the constraints by construction.
-#' NOTE: this means that the weights produced by a numeric optimization algorithm like DEoptim
-#' might violate your constraints, so you'd need to renormalize them after optimizing
+#' NOTE: this means that the weights produced by a numeric optimization algorithm like DEoptim, pso, or GenSA
+#' might violate constraints, and will need to be renormalized after optimizing.
#' We apply the same normalization in \code{\link{optimize.portfolio}} so that the weights you see have been
#' normalized to min_sum if the generated portfolio is smaller than min_sum or max_sum if the
#' generated portfolio is larger than max_sum.
@@ -321,7 +321,7 @@
#'
#' When you are optimizing a return objective, you must specify a negative multiplier
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 3120
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