[Returnanalytics-commits] r3363 - pkg/PortfolioAnalytics/sandbox/RFinance2014
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Apr 11 07:50:24 CEST 2014
Author: rossbennett34
Date: 2014-04-11 07:50:24 +0200 (Fri, 11 Apr 2014)
New Revision: 3363
Added:
pkg/PortfolioAnalytics/sandbox/RFinance2014/makefile
pkg/PortfolioAnalytics/sandbox/RFinance2014/optimization_analysis.R
Removed:
pkg/PortfolioAnalytics/sandbox/RFinance2014/presentation.html
Log:
Adding makefile and data analysis script
Added: pkg/PortfolioAnalytics/sandbox/RFinance2014/makefile
===================================================================
--- pkg/PortfolioAnalytics/sandbox/RFinance2014/makefile (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/RFinance2014/makefile 2014-04-11 05:50:24 UTC (rev 3363)
@@ -0,0 +1,44 @@
+# http://robjhyndman.com/hyndsight/makefiles/
+# https://www.cs.umd.edu/class/fall2002/cmsc214/Tutorial/makefile.html
+
+# List out the R files used
+RFILES := data_analysis.R optimize.R optimization_analysis.R
+
+# Rout indicator files to show R file has run
+OUT_FILES:= $(RFILES:.R=.Rout)
+
+
+all: slidy_presentation.html presentation.Rmd $(OUT_FILES)
+
+# Generate slidy presentation from markdown file
+slidy_presentation.html: presentation.md
+ pandoc -t slidy -s presentation.md -o slidy_presentation.html
+
+# Generate markdown file from R markdown file
+presentation.md: presentation.Rmd
+ Rscript -e "library(knitr); knit('presentation.Rmd')"
+
+# Data analysis script
+data_analysis.Rout: data_analysis.R
+ R CMD BATCH data_analysis.R
+
+# Optimization analysis script to analyze results of optimization
+optimization_analysis.Rout: optimization_analysis.R optimize.R
+ R CMD BATCH optimization_analysis.R
+
+# Run optimizations
+optimize.Rout: optimize.R
+ R CMD BATCH optimize.R
+
+lwShrink.Rout: R/lwShrink.R
+ R CMD BATCH R/lwShrink.R
+
+# Use Rscript to run the necessary R files as an alternative to R CMD BATCH
+run:
+ Rscript data_analysis.R
+ Rscript optimize.R
+ Rscript optimization_analysis.R
+
+clean:
+ rm *.Rout
+ rm *.html
\ No newline at end of file
Added: pkg/PortfolioAnalytics/sandbox/RFinance2014/optimization_analysis.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/RFinance2014/optimization_analysis.R (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/RFinance2014/optimization_analysis.R 2014-04-11 05:50:24 UTC (rev 3363)
@@ -0,0 +1,170 @@
+library(PortfolioAnalytics)
+library(methods)
+
+# Set the directory where the optimization results are saved
+results.dir <- "optimization_results"
+figures.dir <- "optimization_figures"
+
+
+##### Example 1 #####
+load(paste(results.dir, "opt.minVarSample.rda", sep="/"))
+load(paste(results.dir, "opt.minVarLW.rda", sep="/"))
+
+# Chart the weights through time
+png(paste(figures.dir, "weights_minVarSample.png", sep="/"))
+chart.Weights(opt.minVarSample, main="minVarSample Weights", legend.loc=NULL)
+dev.off()
+
+png(paste(figures.dir, "weights_minVarLW.png", sep="/"))
+chart.Weights(opt.minVarLW, main="minVarLW Weights", legend.loc=NULL)
+dev.off()
+
+# Compute the returns and chart the performance summary
+ret.minVarSample <- summary(opt.minVarSample)$portfolio_returns
+ret.minVarRobust <- summary(opt.minVarLW)$portfolio_returns
+ret.minVar <- cbind(ret.minVarSample, ret.minVarRobust)
+colnames(ret.minVar) <- c("Sample", "LW")
+
+png(paste(figures.dir, "ret_minVar.png", sep="/"))
+charts.PerformanceSummary(ret.minVar)
+dev.off()
+
+##### Example 2 #####
+load(paste(results.dir, "opt.dn.rda", sep="/"))
+
+png(paste(figures.dir, "opt_dn.png", sep="/"))
+plot(opt.dn, main="Dollar Neutral Portfolio", risk.col="StdDev", neighbors=10)
+dev.off()
+
+
+# chart.RiskReward(opt, risk.col="StdDev", neighbors=25)
+# chart.Weights(opt, plot.type="bar", legend.loc=NULL)
+# wts <- extractWeights(opt)
+# t(wts) %*% betas
+# sum(abs(wts))
+# sum(wts[wts > 0])
+# sum(wts[wts < 0])
+# sum(wts != 0)
+
+##### Example 3 #####
+load(file=paste(results.dir, "opt.minES.rda", sep="/"))
+load(file=paste(results.dir, "bt.opt.minES.rda", sep="/"))
+
+# ES(R, portfolio_method="component", weights=extractWeights(opt.minES[[1]]))
+# extractObjectiveMeasures(opt.minES)
+
+# extract objective measures, out, and weights
+xtract <- extractStats(opt.minES)
+
+# get the 'mean' and 'ES' columns from each element of the list
+xtract.mean <- unlist(lapply(xtract, function(x) x[,"mean"]))
+xtract.ES <- unlist(lapply(xtract, function(x) x[,"ES"]))
+
+
+png(paste(figures.dir, "opt_minES.png", sep="/"))
+# plot the feasible space
+par(mar=c(7,4,4,1)+0.1)
+plot(xtract.ES, xtract.mean, col="gray",
+ xlab="ES", ylab="Mean",
+ ylim=c(0.005, 0.008),
+ xlim=c(0.015, 0.085))
+
+# min ES
+points(x=opt.minES[[1]]$objective_measures$ES$MES,
+ y=opt.minES[[1]]$objective_measures$mean,
+ pch=15, col="purple")
+text(x=opt.minES[[1]]$objective_measures$ES$MES,
+ y=opt.minES[[1]]$objective_measures$mean,
+ labels="Min ES", pos=1, col="purple", cex=0.8)
+
+# min ES with risk budget upper limit on component contribution to risk
+points(x=opt.minES[[2]]$objective_measures$ES$MES,
+ y=opt.minES[[2]]$objective_measures$mean,
+ pch=15, col="black")
+text(x=opt.minES[[2]]$objective_measures$ES$MES,
+ y=opt.minES[[2]]$objective_measures$mean,
+ labels="Min ES RB", pos=4, col="black", cex=0.8)
+
+# min ES with equal (i.e. min concentration) component contribution to risk
+points(x=opt.minES[[3]]$objective_measures$ES$MES,
+ y=opt.minES[[3]]$objective_measures$mean,
+ pch=15, col="darkgreen")
+text(x=opt.minES[[3]]$objective_measures$ES$MES,
+ y=opt.minES[[3]]$objective_measures$mean,
+ labels="Min ES EqRB", pos=4, col="darkgreen", cex=0.8)
+# par(mar=c(7,4,4,1)+0.1)
+dev.off()
+
+# Chart the risk contribution
+#chart.RiskBudget(opt.minES[[1]], risk.type="percentage", neighbors=10)
+png(paste(figures.dir, "rb_minES.png", sep="/"))
+chart.RiskBudget(opt.minES[[2]], main="Risk Budget Limit",
+ risk.type="percentage", neighbors=10)
+dev.off()
+
+png(paste(figures.dir, "eqrb_minES.png", sep="/"))
+chart.RiskBudget(opt.minES[[3]], main="Equal ES Component Contribution",
+ risk.type="percentage", neighbors=10)
+dev.off()
+
+# Plot the risk contribution through time
+png(paste(figures.dir, "risk_minES.png", sep="/"))
+chart.RiskBudget(bt.opt.minES[[1]], main="Min ES Risk Contribution",
+ risk.type="percentage")
+dev.off()
+
+png(paste(figures.dir, "risk_minESRB.png", sep="/"))
+chart.RiskBudget(bt.opt.minES[[2]], main="Min ES RB Risk Contribution",
+ risk.type="percentage")
+dev.off()
+
+png(paste(figures.dir, "risk_minESEqRB.png", sep="/"))
+chart.RiskBudget(bt.opt.minES[[3]], main="Min ES EqRB Risk Contribution",
+ risk.type="percentage")
+dev.off()
+
+# Extract the returns from each element and chart the performance summary
+ret.bt.opt <- do.call(cbind, lapply(bt.opt.minES,
+ function(x) summary(x)$portfolio_returns))
+colnames(ret.bt.opt) <- c("min ES", "min ES RB", "min ES Eq RB")
+
+png(paste(figures.dir, "ret_minES.png", sep="/"))
+charts.PerformanceSummary(ret.bt.opt)
+dev.off()
+
+##### Example 4 #####
+load(file=paste(results.dir, "opt.crra.rda", sep="/"))
+load(file=paste(results.dir, "bt.opt.crra.rda", sep="/"))
+
+CRRA <- function(R, weights, lambda, sigma, m3, m4){
+ weights <- matrix(weights, ncol=1)
+ M2.w <- t(weights) %*% sigma %*% weights
+ M3.w <- t(weights) %*% m3 %*% (weights %x% weights)
+ M4.w <- t(weights) %*% m4 %*% (weights %x% weights %x% weights)
+ term1 <- 0.5 * lambda * M2.w
+ term2 <- (1 / 6) * lambda * (lambda + 1) * M3.w
+ term3 <- (1 / 24) * lambda * (lambda + 1) * (lambda + 2) * M4.w
+ out <- -term1 + term2 - term3
+ out
+}
+
+# Chart the optimization in Risk-Reward space
+png(paste(figures.dir, "crra_RR.png", sep="/"))
+par(mfrow=c(1,2))
+chart.RiskReward(opt.crra, risk.col="ES")
+# dev.off()
+
+# png(paste(figures.dir, "crra_minES.png", sep="/"))
+chart.RiskReward(opt.crra, risk.col="StdDev")
+par(mfrow=c(1,1))
+dev.off()
+
+# Compute the portfolio returns with rebalancing
+ret.crra <- summary(bt.opt.crra)$portfolio_returns
+colnames(ret.crra) <- "CRRA"
+
+# Plot the performance summary of the returns from example 3 and CRRA
+png(paste(figures.dir, "ret_crra.png", sep="/"))
+charts.PerformanceSummary(cbind(ret.bt.opt, ret.crra), main="Optimization Performance")
+dev.off()
+
Deleted: pkg/PortfolioAnalytics/sandbox/RFinance2014/presentation.html
===================================================================
--- pkg/PortfolioAnalytics/sandbox/RFinance2014/presentation.html 2014-04-11 01:50:02 UTC (rev 3362)
+++ pkg/PortfolioAnalytics/sandbox/RFinance2014/presentation.html 2014-04-11 05:50:24 UTC (rev 3363)
@@ -1,714 +0,0 @@
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-<body>
-<!---
-title: "R/Finance 2014:Complex Portfolio Optimization with PortfolioAnalytics"
-author: Ross Bennett
-date: May 16, 2014
--->
-
-<h1>Portfolio Optimization</h1>
-
-<h2>General</h2>
-
-<p>TODO: Add some general comments here about goals and pitfalls of optimization in the context of constructing a portfolio.</p>
-
-<h2>Modern Portfolio Theory</h2>
-
-<p>“Modern” Portfolio Theory (MPT) was introduced by Harry Markowitz in 1952.</p>
-
-<p>In general, MPT states that an investor's objective is to maximize portfolio expected return for a given amount of risk.</p>
-
-<p>General Objectives</p>
-
-<ul>
-<li>Maximize a measure of gain per unit measure of risk</li>
-<li>Minimize a measure of risk</li>
-<li>Maximize a utility function</li>
-</ul>
-
-<p>How do we define risk?</p>
-
-<h2>Portfolio Optimization Objectives</h2>
-
-<ul>
-<li>Minimize Risk
-
-<ul>
-<li>Volatility</li>
-<li>Tail Loss (VaR, ES)</li>
-<li>Other Downside Risk Measure</li>
-</ul></li>
-<li>Maximize Risk Adjusted Return
-
-<ul>
-<li>Sharpe Ratio</li>
-<li>Modified Sharpe Ratio</li>
-<li>Several Others</li>
-</ul></li>
-<li>Risk Budgets
-
-<ul>
-<li>Equal Component Contribution to Risk (i.e. Risk Parity)</li>
-<li>Limits on Component Contribution</li>
-</ul></li>
-<li>Maximize a Utility Function
-
-<ul>
-<li>Quadratic, CRRA, CARA, etc.</li>
-</ul></li>
-</ul>
-
-<h1>PortfolioAnalytics</h1>
-
-<h2>Overview</h2>
-
-<p>PortfolioAnalytics is an R package designed to provide numerical solutions and visualizations for portfolio optimization problems with complex constraints and objectives.</p>
-
-<h2>Key Features</h2>
-
-<ul>
-<li>Support for multiple constraint and objective types</li>
-<li>Modular constraints and objectives</li>
-<li>An objective function can be any valid R function</li>
-<li>Custom moments</li>
-<li>Solver agnostic</li>
-<li>Visualizations</li>
-</ul>
-
-<!---
-The key points to make here are:
-- Flexibility
- - The multiple types and modularity of constraints and objectives allows us to add, remove, combine, etc. multiple constraint and objective types very easily.
- - Define an objective as any valid R function
- - Define a function to compute the moments (sample, robust, shrinkage, factor model, GARCH model, etc.)
-- PortfolioAnalytics comes "pre-built" with several constraint types.
--->
-
-<h2>Support Multiple Solvers</h2>
-
-<p>Linear and Quadratic Programming Solvers</p>
-
-<ul>
-<li>R Optimization Infrastructure (ROI)
-
-<ul>
-<li>GLPK (Rglpk)</li>
-<li>Symphony (Rsymphony)</li>
-<li>Quadprog (quadprog)</li>
-</ul></li>
-</ul>
-
-<p>Global (stochastic or continuous solvers)</p>
-
-<ul>
-<li>Random Portfolios</li>
-<li>Differential Evolution (DEoptim)</li>
-<li>Particle Swarm Optimization (pso)</li>
-<li>Generalized Simulated Annealing (GenSA)</li>
-</ul>
-
-<h2>Random Portfolios</h2>
-
-<p>TODO: Add graphic comparing the three methods</p>
-
-<h2>Random Portfolios: Simplex Method</h2>
-
-<p>TODO: Add graphic with different fev biasing values</p>
-
-<h2>Workflow</h2>
-
-<p>TODO: Add a nice graphic here (Guy might have one)</p>
-
-<p>Specify a Portfolio –> Add Constraints –> Add Objectives –> Run Optimization –> Analyze Results</p>
-
-<!---
-Describe each function:
-- portfolio.spec
-- add.constraint
-- add.objective
-- optimize.portfolio and optimize.portfolio.rebalancing
-Just give a general description of the functions to analyze results
--->
-
-<h1>Example 1</h1>
-
-<h2>Data Setup</h2>
-
-<p>Here we will look at portfolio optimization in the context of stocks.</p>
-
-<ul>
-<li>Selection of large cap, mid cap, and small cap stocks from CRSP data</li>
-<li>15 Large Cap</li>
-<li>15 Mid Cap</li>
-<li>5 Small Cap</li>
-</ul>
-
-<h2>Distribution of Monthly Returns</h2>
-
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 3363
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