[Returnanalytics-commits] r3421 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2014-06-16 19:50:13 +0200 (Mon, 16 Jun 2014)
New Revision: 3421

Added:
   pkg/PortfolioAnalytics/R/mult.layer.portfolio.R
Log:
Adding code to specify multiple layers and add sub portfolios for multi layer optimization

Added: pkg/PortfolioAnalytics/R/mult.layer.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/mult.layer.portfolio.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/R/mult.layer.portfolio.R	2014-06-16 17:50:13 UTC (rev 3421)
@@ -0,0 +1,119 @@
+
+
+# I am going to start with two levels. Once that is working, I will generalize
+# to any arbitrary number of levels.
+
+#' Multple Layer Portfolio Specification
+#' 
+#' Create and specify a multiple layer portfolio
+#' 
+#' The \code{sub.portfolios} slot is a list where each element contains the 
+#' portfolio object and rebalancing parameters for the optimization of the 
+#' sub portfolio.
+#' This allows, for example, each sub portfolio to have different rebalancing 
+#' frequencies (i.e. monthly or quarterly), optimization methods, etc.
+#' 
+#' Each sub portfolio is optimized with \code{optimize.portfolio.rebalancing} 
+#' to create a time series of proxy returns. 
+#' 
+#' The "top level" portfolio is used to specify the constraints and objectives 
+#' to control the optimization given the proxy returns of each sub portfolio. 
+#' 
+#' @param portfolio the "top level" portfolio
+#' @param levels number of levels of sub-portfolios
+#' @param \dots any additional parameters
+#' @return a \code{mult.portfolio.spec} object with the top level portfolio 
+#' and sub portfolios with optimization parameters for each sub portfolio
+#' @author Ross Bennett
+#' @export
+mult.portfolio.spec <- function(portfolio, levels=2, ...){
+  structure(c(list(top.portfolio = portfolio,
+                   sub.portfolios = list()),
+              list(...)),
+            class="mult.portfolio.spec")
+}
+
+# constructor for sub.portfolio object
+sub.portfolio <- function(portfolio, 
+                          optimize_method = c("DEoptim","random","ROI","pso","GenSA"), 
+                          search_size = 20000,
+                          rp = NULL, 
+                          rebalance_on = NULL, 
+                          training_period = NULL, 
+                          trailing_periods = NULL, 
+                          ...){
+  # Check to make sure that the portfolio passed in is a portfolio object
+  if (!is.portfolio(portfolio)) stop("portfolio passed in is not of class 'portfolio'")
+  
+  # structure and return
+  return(structure( c(list(portfolio = portfolio,
+                           optimize_method = optimize_method[1],
+                           search_size = search_size,
+                           rp = rp,
+                           rebalance_on = rebalance_on,
+                           training_period = NULL,
+                           trailing_periods= NULL),
+                      list(...)),
+                    class="sub.portfolio"
+  ) # end structure
+  )
+}
+
+#' Add sub-portfolio
+#' 
+#' Add a sub-portfolio to a multiple layer portfolio specification object
+#' 
+#' @param mult.portfolio a \code{mult.portfolio.spec} object
+#' @param portfolio a \code{portfolio} object to add as a sub portfolio.
+#' @param optimize_method optimization method for the sub portfolio
+#' @param search_size integer, how many portfolios to test, default 20,000
+#' @param rp matrix of random portfolio weights, default NULL, mostly for automated use by rebalancing optimization or repeated tests on same portfolios
+#' @param rebalance_on haracter string of period to rebalance on. See 
+#' \code{\link[xts]{endpoints}} for valid names.
+#' @param training_period an integer of the number of periods to use as 
+#' a training data in the front of the returns data
+#' @param trailing_periods an integer with the number of periods to roll over
+#' (i.e. width of the moving or rolling window), the default is NULL will 
+#' run using the returns data from inception 
+#' @param \dots additonal passthrough parameters to \code{\link{optimize.portfolio.rebalancing}}
+#' @param indexnum the index number of the sub portfolio. If \code{indexnum=NULL}
+#' (the default), then the sub portfolio object is appended to the list of 
+#' sub portfolios in the \code{mult.portfolio} object. If \code{indexnum} is 
+#' specified, the portfolio in that index number is overwritten.
+#' @seealso \code{\link{mult.portfolio.spec}} \code{\link{portfolio.spec}} \code{\link{optimize.portfolio}} \code{\link{optimize.portfolio.rebalancing}}
+#' @author
+#' @export
+add.sub.portfolio <- function(mult.portfolio, 
+                              portfolio, 
+                              optimize_method = c("DEoptim","random","ROI","pso","GenSA"), 
+                              search_size = 20000,
+                              rp = NULL, 
+                              rebalance_on = NULL, 
+                              training_period = NULL, 
+                              trailing_periods = NULL,
+                              ..., 
+                              indexnum = NULL){
+  # Check to make sure that the portfolio passed in is a portfolio mult.portfolio
+  if(!inherits(mult.portfolio, "mult.portfolio.spec")) stop("mult.portfolio must be of class 'mult.portfolio.spec'")
+  
+  # construct a sub portfolio object
+  tmp_portfolio <- sub.portfolio(portfolio=portfolio, 
+                                 optimize_method=optimize_method[1], 
+                                 search_size=search_size, 
+                                 rp=rp, 
+                                 rebalance_on=rebalance_on, 
+                                 training_period=training_period, 
+                                 trailing_periods=trailing_periods, 
+                                 ...=...)
+  
+  if(inherits(tmp_portfolio, "sub.portfolio")){
+    if(!hasArg(indexnum) | (hasArg(indexnum) & is.null(indexnum))){
+      indexnum <- length(mult.portfolio$sub.portfolios)+1
+    }
+    mult.portfolio$sub.portfolios[[indexnum]] <- tmp_portfolio
+  }
+  return(mult.portfolio)
+}
+
+
+