[Returnanalytics-commits] r3307 - pkg/PortfolioAnalytics/demo

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

Author: rossbennett34
Date: 2014-02-10 01:06:24 +0100 (Mon, 10 Feb 2014)
New Revision: 3307

Added:
   pkg/PortfolioAnalytics/demo/risk_budget_backtesting.R
Modified:
   pkg/PortfolioAnalytics/demo/00Index
Log:
Adding demo for optimize.portfolio.rebalancing

Modified: pkg/PortfolioAnalytics/demo/00Index
===================================================================
--- pkg/PortfolioAnalytics/demo/00Index	2014-02-09 23:55:31 UTC (rev 3306)
+++ pkg/PortfolioAnalytics/demo/00Index	2014-02-10 00:06:24 UTC (rev 3307)
@@ -24,5 +24,6 @@
 demo_min_StdDev Demonstrate objective to minimize portfolio standard deviation.
 demo_min_expected_shortfall Demonstrate objective to minimize expected shortfall.
 demo_risk_budgets Demonstrate using risk budget objectives.
-demo_roi_solvers Demonstrate specifying a solver using ROI
+demo_roi_solvers Demonstrate specifying a solver using ROI.
+risk_budget_backtesting Demonstrate optimize.portfolio.rebalancing with standard deviation risk budget objective.
 

Added: pkg/PortfolioAnalytics/demo/risk_budget_backtesting.R
===================================================================
--- pkg/PortfolioAnalytics/demo/risk_budget_backtesting.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/demo/risk_budget_backtesting.R	2014-02-10 00:06:24 UTC (rev 3307)
@@ -0,0 +1,59 @@
+
+library(PortfolioAnalytics)
+data(edhec)
+
+# Use first four columns of edhec data set
+R <- edhec[, 1:4]
+funds <- colnames(R)
+
+# Initialize portfolio and add basic constraints
+init.portf <- portfolio.spec(funds, weight_seq=generatesequence(min=0, max=1, by=0.002))
+init.portf <- add.constraint(init.portf, "weight_sum")#, min_sum=0.99, max_sum=1.01)
+init.portf <- add.constraint(init.portf, "box", min=0, max=0.65)
+
+# Add mean return objective with multiplier=0 so it is calculated, but does
+# not affect optimization
+init.portf <- add.objective(init.portf, type="return", name="mean", multiplier=0)
+
+# Add objective to minimize portfolio standard deviation
+SDRB.portf <- add.objective(init.portf, type="risk", name="StdDev")
+
+# Add StdDev risk budget objective for maximum percentage risk 
+SDRB.portf <- add.objective(SDRB.portf, type="risk_budget", name="StdDev", max_prisk=0.4)
+
+# Generate random portfolios
+rp <- random_portfolios(init.portf, 5000)
+
+# Run out of sample backtest with yearly rebalancing
+SDRB.opt.bt <- optimize.portfolio.rebalancing(R, SDRB.portf,
+                                              optimize_method="random", 
+                                              rp=rp,
+                                              trace=TRUE, 
+                                              rebalance_on="years", 
+                                              training_period=100, 
+                                              trailing_periods=60)
+
+# print method for optimize.portfolio.rebalancing objects
+SDRB.opt.bt
+
+# summary method for optimize.portfolio.rebalancing objects
+tmp_summary <- summary(SDRB.opt.bt)
+names(tmp_summary)
+
+# print method for summary.optimize.portfolio.rebalancing objects
+tmp_summary
+
+# Extractor functions for summary.optimize.portfolio.rebalancing objects
+extractWeights(tmp_summary)
+extractObjectiveMeasures(tmp_summary)
+
+# Extractor functions for optimize.portfolio.rebalancing objects
+tmp_stats <- extractStats(SDRB.opt.bt)
+head(tmp_stats[[1]])
+tmp_weights <- extractWeights(SDRB.opt.bt)
+tmp_obj <- extractObjectiveMeasures(SDRB.opt.bt)
+
+# chart functions for optimize.portfolio.rebalancing
+chart.Weights(SDRB.opt.bt)
+chart.RiskBudget(SDRB.opt.bt, match.col="StdDev", risk.type="percent")
+