[Returnanalytics-commits] r3412 - pkg/PortfolioAnalytics/sandbox

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

Author: rossbennett34
Date: 2014-06-09 17:33:44 +0200 (Mon, 09 Jun 2014)
New Revision: 3412

Added:
   pkg/PortfolioAnalytics/sandbox/multi_layer_script.R
Log:
Adding script for multi_layer optimization that will be functionalized

Added: pkg/PortfolioAnalytics/sandbox/multi_layer_script.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/multi_layer_script.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/multi_layer_script.R	2014-06-09 15:33:44 UTC (rev 3412)
@@ -0,0 +1,91 @@
+library(PortfolioAnalytics)
+
+# Script for multilayer optimization
+
+# We need to support the different arguments/parameters for 
+# optimize.portfolio.rebalancing for each sub-portfolio
+# * R
+# * optimize_method
+# * search_size
+# * trace
+# * ...
+# * rp
+# * rebalance_on
+# * training_period
+# * trailings_period
+
+# The returns need to have the same periodicity
+
+# Each sub-portfolio may have a different rebalancing frequency, training, and
+# trailing parameters, as well as optimization method
+
+data(edhec)
+R <- edhec[, 1:10]
+funds <- colnames(R)
+
+# The first sub-portfolio, portf1, will contain assets 1:5 of the edhec
+# with an objective to minimize standard deviation.
+portf1 <- portfolio.spec(assets=funds[1:5])
+portf1 <- add.constraint(portfolio=portf1, type="full_investment")
+portf1 <- add.constraint(portfolio=portf1, type="long_only")
+portf1 <- add.objective(portfolio=portf1, type="risk", name="StdDev")
+
+# The second sub-portfolio, portf2, will contain assets 6:10 of the edhec
+# with an objective to minimize expected shortfall.
+portf2 <- portfolio.spec(assets=funds[6:10])
+portf2 <- add.constraint(portfolio=portf2, type="full_investment")
+portf2 <- add.constraint(portfolio=portf2, type="long_only")
+portf2 <- add.objective(portfolio=portf2, type="risk", name="ES",
+                            arguments=list(p=0.9))
+
+# Run optimize.portfolio.rebalancing for each sub-portfolio to get proxy 
+# returns 
+proxy1 <- optimize.portfolio.rebalancing(R[,1:5], 
+                                         portf1, 
+                                         optimize_method="ROI", 
+                                         rebalance_on="quarters", 
+                                         training_period=60)
+proxy1
+proxy1.ret <- summary(proxy1)$portfolio_returns
+
+proxy2 <- optimize.portfolio.rebalancing(R[,6:10], 
+                                         portf2, 
+                                         optimize_method="ROI", 
+                                         rebalance_on="quarters", 
+                                         training_period=48)
+proxy2
+proxy2.ret <- summary(proxy2)$portfolio_returns
+
+# A different training period was used so the returns do not exactly align
+ret <- cbind(proxy1.ret, proxy2.ret)
+head(ret, 14)
+
+# Get rid of the NAs
+ret <- na.omit(ret)
+colnames(ret) <- c("proxy1", "proxy2")
+head(ret)
+
+# Construct portfolio for the top level optimization of the proxy portfolios
+portf <- portfolio.spec(assets=colnames(ret))
+portf <- add.constraint(portfolio=portf, type="weight_sum", min_sum=0.99, max_sum=1.01)
+portf <- add.constraint(portfolio=portf, type="long_only")
+portf <- add.objective(portfolio=portf, type="risk", name="ES",
+                        arguments=list(p=0.9))
+portf <- add.objective(portfolio=portf, type="risk_budget", name="ES",
+                       arguments=list(p=0.9), min_concentration=TRUE)
+
+opt <- optimize.portfolio(ret, portf, 
+                          optimize_method="random", 
+                          search_size=4000, 
+                          trace=TRUE)
+opt
+
+opt.bt <- optimize.portfolio.rebalancing(ret, portf, 
+                                      optimize_method="random", 
+                                      search_size=4000, 
+                                      trace=TRUE,
+                                      rebalance_on="months",
+                                      training_period=48)
+opt.bt
+opt.ret <- summary(opt.bt)$portfolio_returns
+charts.PerformanceSummary(cbind(opt.ret, ret))