[Returnanalytics-commits] r3183 - in pkg/PortfolioAnalytics: . R man

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

Author: rossbennett34
Date: 2013-09-24 18:43:49 +0200 (Tue, 24 Sep 2013)
New Revision: 3183

Modified:
   pkg/PortfolioAnalytics/DESCRIPTION
   pkg/PortfolioAnalytics/R/random_portfolios.R
   pkg/PortfolioAnalytics/man/random_portfolios.Rd
Log:
Adding content to random_portfolios description.

Modified: pkg/PortfolioAnalytics/DESCRIPTION
===================================================================
--- pkg/PortfolioAnalytics/DESCRIPTION	2013-09-24 09:51:01 UTC (rev 3182)
+++ pkg/PortfolioAnalytics/DESCRIPTION	2013-09-24 16:43:49 UTC (rev 3183)
@@ -4,7 +4,7 @@
     of Portfolios
 Version: 0.8.3
 Date: $Date$
-Author: Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt  
+Author: Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
 Contributors: R. Douglas Martin, Guy Yollin, Hezky Varon
 Maintainer: Brian G. Peterson <brian at braverock.com>
 Description: Portfolio optimization and analysis routines and graphics.

Modified: pkg/PortfolioAnalytics/R/random_portfolios.R
===================================================================
--- pkg/PortfolioAnalytics/R/random_portfolios.R	2013-09-24 09:51:01 UTC (rev 3182)
+++ pkg/PortfolioAnalytics/R/random_portfolios.R	2013-09-24 16:43:49 UTC (rev 3183)
@@ -349,8 +349,16 @@
 #' }
 #' 
 #' The constraint types checked are leverage, box, group, and position limit. Any
-#' portfolio that does not satisfy all these constraints will be eliminated.
+#' portfolio that does not satisfy all these constraints will be eliminated. This
+#' function is particularly sensitive to \code{min_sum} and \code{max_sum} 
+#' leverage constraints. For the sample method, there should be some 
+#' "wiggle room" between \code{min_sum} and \code{max_sum} in order to generate 
+#' a sufficient number of feasible portfolios. For example, \code{min_sum=0.99} 
+#' and \code{max_sum=1.01} is recommended instead of \code{min_sum=1} 
+#' and \code{max_sum=1}. If \code{min_sum=1} and \code{max_sum=1}, the number of
+#' feasible portfolios may be 1/3 or less depending on the other constraints.
 #' 
+#' 
 #' @param portfolio an object of type "portfolio" specifying the constraints for the optimization, see \code{\link{constraint}}
 #' @param permutations integer: number of unique constrained random portfolios to generate
 #' @param \dots any other passthru parameters

Modified: pkg/PortfolioAnalytics/man/random_portfolios.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/random_portfolios.Rd	2013-09-24 09:51:01 UTC (rev 3182)
+++ pkg/PortfolioAnalytics/man/random_portfolios.Rd	2013-09-24 16:43:49 UTC (rev 3183)
@@ -60,7 +60,17 @@
 
   The constraint types checked are leverage, box, group,
   and position limit. Any portfolio that does not satisfy
-  all these constraints will be eliminated.
+  all these constraints will be eliminated. This function
+  is particularly sensitive to \code{min_sum} and
+  \code{max_sum} leverage constraints. For the sample
+  method, there should be some "wiggle room" between
+  \code{min_sum} and \code{max_sum} in order to generate a
+  sufficient number of feasible portfolios. For example,
+  \code{min_sum=0.99} and \code{max_sum=1.01} is
+  recommended instead of \code{min_sum=1} and
+  \code{max_sum=1}. If \code{min_sum=1} and
+  \code{max_sum=1}, the number of feasible portfolios may
+  be 1/3 or less depending on the other constraints.
 }
 \author{
   Peter Carl, Brian G. Peterson, Ross Bennett (based on an