[Returnanalytics-commits] r3181 - pkg/PortfolioAnalytics/sandbox/symposium2013

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2013-09-24 04:07:57 +0200 (Tue, 24 Sep 2013)
New Revision: 3181

Modified:
   pkg/PortfolioAnalytics/sandbox/symposium2013/optimize.HFindexes.R
Log:
- extracting portfolio measures won't work across all buoys, so re-calculating them based on weights and returns

Modified: pkg/PortfolioAnalytics/sandbox/symposium2013/optimize.HFindexes.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/symposium2013/optimize.HFindexes.R	2013-09-24 01:56:43 UTC (rev 3180)
+++ pkg/PortfolioAnalytics/sandbox/symposium2013/optimize.HFindexes.R	2013-09-24 02:07:57 UTC (rev 3181)
@@ -204,11 +204,11 @@
                                   name="mean"
                                   )
 # Add a risk measure
-
 # Use ES to be consistent with risk measures in other BUOY portfolios
 RiskBudget.portf <- add.objective(portfolio=RiskBudget.portf,
                                   type="risk",
                                   name="ES",
+                                  multiplier=1,
                                   arguments = list(p=(1-1/12), clean=clean)
                                   )
 
@@ -257,8 +257,18 @@
 plot(MeanmETL.ROI, risk.col="StdDev", return.col="mean", rp=permutations, chart.assets=TRUE, main="Mean-mETL Portfolio")
 plot(MeanmETL.ROI, risk.col="ES", return.col="mean", rp=permutations, chart.assets=TRUE, main="Mean-mETL Portfolio")
 save(MeanmETL.ROI,file=paste(resultsdir, 'MeanETL-', Sys.Date(), '-', runname, '.rda',sep=''))
+chart.EfficientFrontier(MeanmETL.RND)
 print(paste('Completed meanmETL optimization at',Sys.time(),'moving on to MinSD'))
 
+MeanmETL.RND<-optimize.portfolio(R=R,
+                                 portfolio=MeanmETL.portf,
+                                 optimize_method='random',
+                                 search_size=10000,
+                                 trace=TRUE
+) 
+plot(MeanmETL.RND, risk.col="StdDev", return.col="mean", chart.assets=TRUE, main="Mean-mETL Portfolio")
+plot(MeanmETL.RND, risk.col="ES", return.col="mean", chart.assets=TRUE, main="Mean-mETL Portfolio")
+
 ### Evaluate BUOY 3: Constrained Minimum Variance Portfolio - with ROI
 MinSD.ROI<-optimize.portfolio(R=R,
   portfolio=MinSD.portf,
@@ -364,7 +374,21 @@
 buoyStdDev <- combine.optimizations(list(EqSD=EqSD.RND, EqWt=EqWt.opt))
 chart.RiskBudget(buoyStdDev, match.col="StdDev", risk.type="absolute", legend.loc="topleft")
 
+Wgts = extractWeights(buoys)
 
+# Extract portfolio measures from each objective
+## We can't just extract them, because they aren't all calculated
+## so fill them in...
+portfmeas=NULL
+for(i in 1:NROW(Wgts)){
+  mean = sum(colMeans(R)*Wgts[i,])
+  sd = StdDev(R, weights=Wgts[i,])
+  es = ES(R, weights=Wgts[i,], method="modified", portfolio_method="component", p=p)
+  portfmeas=rbind(portfmeas, c(mean, sd[1], es[1]))
+}
+colnames(portfmeas)=c("Mean", "StdDev", "mETL")
+rownames(portfmeas)=rownames(Wgts)
+
 end_time<-Sys.time()
 end_time-start_time