[Returnanalytics-commits] r3300 - pkg/PortfolioAnalytics/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Jan 11 22:26:56 CET 2014
Author: rossbennett34
Date: 2014-01-11 22:26:56 +0100 (Sat, 11 Jan 2014)
New Revision: 3300
Added:
pkg/PortfolioAnalytics/man/gmv_opt_ptc.Rd
Modified:
pkg/PortfolioAnalytics/man/etl_milp_opt.Rd
pkg/PortfolioAnalytics/man/etl_opt.Rd
pkg/PortfolioAnalytics/man/gmv_opt.Rd
pkg/PortfolioAnalytics/man/gmv_opt_toc.Rd
pkg/PortfolioAnalytics/man/maxret_milp_opt.Rd
pkg/PortfolioAnalytics/man/maxret_opt.Rd
pkg/PortfolioAnalytics/man/optimize.portfolio.Rd
Log:
Updating documentation for optimization sub-functions and optimize.portfolio
Modified: pkg/PortfolioAnalytics/man/etl_milp_opt.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/etl_milp_opt.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/etl_milp_opt.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -1,8 +1,9 @@
\name{etl_milp_opt}
\alias{etl_milp_opt}
-\title{Optimization function to solve minimum ETL problems}
+\title{Minimum ETL MILP Optimization}
\usage{
- etl_milp_opt(R, constraints, moments, target, alpha)
+ etl_milp_opt(R, constraints, moments, target, alpha,
+ solver = "glpk")
}
\arguments{
\item{R}{xts object of asset returns}
@@ -16,6 +17,8 @@
\item{target}{target return value}
\item{alpha}{alpha value for ETL/ES/CVaR}
+
+ \item{solver}{solver to use}
}
\description{
This function is called by optimize.portfolio to solve
Modified: pkg/PortfolioAnalytics/man/etl_opt.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/etl_opt.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/etl_opt.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -1,8 +1,9 @@
\name{etl_opt}
\alias{etl_opt}
-\title{Optimization function to solve minimum ETL problems}
+\title{Minimum ETL LP Optimization}
\usage{
- etl_opt(R, constraints, moments, target, alpha)
+ etl_opt(R, constraints, moments, target, alpha,
+ solver = "glpk")
}
\arguments{
\item{R}{xts object of asset returns}
@@ -16,6 +17,8 @@
\item{target}{target return value}
\item{alpha}{alpha value for ETL/ES/CVaR}
+
+ \item{solver}{solver to use}
}
\description{
This function is called by optimize.portfolio to solve
Modified: pkg/PortfolioAnalytics/man/gmv_opt.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/gmv_opt.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/gmv_opt.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -1,9 +1,9 @@
\name{gmv_opt}
\alias{gmv_opt}
-\title{Optimization function to solve minimum variance or maximum quadratic utility problems}
+\title{GMV/QU QP Optimization}
\usage{
gmv_opt(R, constraints, moments, lambda, target,
- lambda_hhi, conc_groups)
+ lambda_hhi, conc_groups, solver = "quadprog")
}
\arguments{
\item{R}{xts object of asset returns}
@@ -22,6 +22,8 @@
\item{conc_groups}{list of vectors specifying the groups
of the assets.}
+
+ \item{solver}{solver to use}
}
\description{
This function is called by optimize.portfolio to solve
Added: pkg/PortfolioAnalytics/man/gmv_opt_ptc.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/gmv_opt_ptc.Rd (rev 0)
+++ pkg/PortfolioAnalytics/man/gmv_opt_ptc.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -0,0 +1,33 @@
+\name{gmv_opt_ptc}
+\alias{gmv_opt_ptc}
+\title{GMV/QU QP Optimization with Proportional Transaction Cost Constraint}
+\usage{
+ gmv_opt_ptc(R, constraints, moments, lambda, target,
+ init_weights, solver = "quadprog")
+}
+\arguments{
+ \item{R}{xts object of asset returns}
+
+ \item{constraints}{object of constraints in the portfolio
+ object extracted with \code{get_constraints}}
+
+ \item{moments}{object of moments computed based on
+ objective functions}
+
+ \item{lambda}{risk_aversion parameter}
+
+ \item{target}{target return value}
+
+ \item{init_weights}{initial weights to compute turnover}
+
+ \item{solver}{solver to use}
+}
+\description{
+ This function is called by optimize.portfolio to solve
+ minimum variance or maximum quadratic utility problems
+ with proportional transaction cost constraint
+}
+\author{
+ Ross Bennett
+}
+
Modified: pkg/PortfolioAnalytics/man/gmv_opt_toc.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/gmv_opt_toc.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/gmv_opt_toc.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -1,9 +1,9 @@
\name{gmv_opt_toc}
\alias{gmv_opt_toc}
-\title{Optimization function to solve minimum variance or maximum quadratic utility problems with turnover constraint}
+\title{GMV/QU QP Optimization with Turnover Constraint}
\usage{
gmv_opt_toc(R, constraints, moments, lambda, target,
- init_weights)
+ init_weights, solver = "quadprog")
}
\arguments{
\item{R}{xts object of asset returns}
@@ -19,10 +19,13 @@
\item{target}{target return value}
\item{init_weights}{initial weights to compute turnover}
+
+ \item{solver}{solver to use}
}
\description{
This function is called by optimize.portfolio to solve
minimum variance or maximum quadratic utility problems
+ with turnover constraint
}
\author{
Ross Bennett
Modified: pkg/PortfolioAnalytics/man/maxret_milp_opt.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/maxret_milp_opt.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/maxret_milp_opt.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -1,8 +1,9 @@
\name{maxret_milp_opt}
\alias{maxret_milp_opt}
-\title{Optimization function to solve maximum return problems}
+\title{Maximum Return MILP Optimization}
\usage{
- maxret_milp_opt(R, constraints, moments, target)
+ maxret_milp_opt(R, constraints, moments, target,
+ solver = "glpk")
}
\arguments{
\item{R}{xts object of asset returns}
@@ -14,6 +15,8 @@
objective functions}
\item{target}{target return value}
+
+ \item{solver}{solver to use}
}
\description{
This function is called by optimize.portfolio to solve
Modified: pkg/PortfolioAnalytics/man/maxret_opt.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/maxret_opt.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/maxret_opt.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -1,8 +1,9 @@
\name{maxret_opt}
\alias{maxret_opt}
-\title{Optimization function to solve minimum variance or maximum quadratic utility problems}
+\title{Maximum Return LP Optimization}
\usage{
- maxret_opt(R, moments, constraints, target)
+ maxret_opt(R, moments, constraints, target,
+ solver = "glpk")
}
\arguments{
\item{R}{xts object of asset returns}
@@ -14,10 +15,12 @@
objective functions}
\item{target}{target return value}
+
+ \item{solver}{solver to use}
}
\description{
This function is called by optimize.portfolio to solve
- minimum variance or maximum quadratic utility problems
+ maximum return
}
\author{
Ross Bennett
Modified: pkg/PortfolioAnalytics/man/optimize.portfolio.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/optimize.portfolio.Rd 2014-01-11 21:23:39 UTC (rev 3299)
+++ pkg/PortfolioAnalytics/man/optimize.portfolio.Rd 2014-01-11 21:26:56 UTC (rev 3300)
@@ -11,13 +11,13 @@
optimize.portfolio_v2(R, portfolio = NULL,
constraints = NULL, objectives = NULL,
- optimize_method = c("DEoptim", "random", "ROI", "ROI_old", "pso", "GenSA"),
+ optimize_method = c("DEoptim", "random", "ROI", "pso", "GenSA"),
search_size = 20000, trace = FALSE, ..., rp = NULL,
momentFUN = "set.portfolio.moments", message = FALSE)
optimize.portfolio(R, portfolio = NULL,
constraints = NULL, objectives = NULL,
- optimize_method = c("DEoptim", "random", "ROI", "ROI_old", "pso", "GenSA"),
+ optimize_method = c("DEoptim", "random", "ROI", "pso", "GenSA"),
search_size = 20000, trace = FALSE, ..., rp = NULL,
momentFUN = "set.portfolio.moments", message = FALSE)
}
@@ -35,13 +35,9 @@
\item{objectives}{default=NULL, a list of objective
objects.}
- \item{optimize_method}{one of "DEoptim", "random",
- "ROI","ROI_old", "pso", "GenSA". For using
- \code{ROI_old}, need to use a constraint_ROI object in
- constraints. For using \code{ROI}, pass standard
- \code{constratint} object in \code{constraints} argument.
- Presently, ROI has plugins for \code{quadprog} and
- \code{Rglpk}.}
+ \item{optimize_method}{one of "DEoptim", "random", "ROI",
+ "pso", "GenSA". A solver for ROI can also be specified
+ and will be solved using ROI. See Details.}
\item{search_size}{integer, how many portfolios to test,
default 20,000}
@@ -151,6 +147,15 @@
When using GenSA and want to set \code{verbose=TRUE},
instead use \code{trace}.
+ If \code{optimize_method="ROI"} is specified, a default
+ solver will be selected based on the optimization
+ problem. The \code{glpk} solver is the default solver for
+ LP and MILP optimization problems. The \code{quadprog}
+ solver is the default solver for QP optimization
+ problems. For example, \code{optimize_method =
+ "quadprog"} can be specified and the optimization problem
+ will be solved via ROI using the quadprog solver.
+
The extension to ROI solves a limited type of convex
optimization problems: \itemize{ \item{Maxmimize
portfolio return subject leverage, box, group, position
More information about the Returnanalytics-commits
mailing list