[Returnanalytics-commits] r3373 - in pkg/PortfolioAnalytics: . vignettes

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

Author: rossbennett34
Date: 2014-04-18 17:05:31 +0200 (Fri, 18 Apr 2014)
New Revision: 3373

Modified:
   pkg/PortfolioAnalytics/DESCRIPTION
   pkg/PortfolioAnalytics/vignettes/risk_budget_optimization.Rnw
Log:
Update to DESCRIPTION file for PerformanceAnalytics version and risk budget vignette to use quarterly rebalancing.

Modified: pkg/PortfolioAnalytics/DESCRIPTION
===================================================================
--- pkg/PortfolioAnalytics/DESCRIPTION	2014-04-15 19:06:04 UTC (rev 3372)
+++ pkg/PortfolioAnalytics/DESCRIPTION	2014-04-18 15:05:31 UTC (rev 3373)
@@ -12,7 +12,7 @@
     R (>= 2.14.0),
     zoo,
     xts (>= 0.8),
-    PerformanceAnalytics (>= 1.0.0)
+    PerformanceAnalytics (>= 1.1.4)
 Suggests:
     quantmod,
     DEoptim(>= 2.2.1),

Modified: pkg/PortfolioAnalytics/vignettes/risk_budget_optimization.Rnw
===================================================================
--- pkg/PortfolioAnalytics/vignettes/risk_budget_optimization.Rnw	2014-04-15 19:06:04 UTC (rev 3372)
+++ pkg/PortfolioAnalytics/vignettes/risk_budget_optimization.Rnw	2014-04-18 15:05:31 UTC (rev 3373)
@@ -316,12 +316,11 @@
 As an example, consider the minimum CVaR concentration portfolio, with estimation from inception and monthly rebalancing. Since we require a minimum estimation length of total number of observations -1, we can optimize the portfolio only for the last two months.  
 
 <<echo=TRUE, tidy=FALSE>>=
-library(iterators)
 set.seed(1234)
 out <- optimize.portfolio.rebalancing(R=indexes, portfolio=ObjSpec, 
                                       optimize_method="DEoptim", search_size=5000,
-                                      rebalance_on="months", 
-                                      training_period=nrow(indexes)-10,
+                                      rebalance_on="quarters", 
+                                      training_period=nrow(indexes)-12,
                                       traceDE=0)
 @