[Returnanalytics-commits] r3423 - in pkg/PortfolioAnalytics: . man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jun 16 23:26:51 CEST 2014
Author: rossbennett34
Date: 2014-06-16 23:26:51 +0200 (Mon, 16 Jun 2014)
New Revision: 3423
Modified:
pkg/PortfolioAnalytics/DESCRIPTION
pkg/PortfolioAnalytics/NAMESPACE
pkg/PortfolioAnalytics/man/CCCgarch.MM.Rd
pkg/PortfolioAnalytics/man/HHI.Rd
pkg/PortfolioAnalytics/man/add.constraint.Rd
pkg/PortfolioAnalytics/man/add.objective.Rd
pkg/PortfolioAnalytics/man/applyFUN.Rd
pkg/PortfolioAnalytics/man/barplotGroupWeights.Rd
pkg/PortfolioAnalytics/man/box_constraint.Rd
pkg/PortfolioAnalytics/man/center.Rd
pkg/PortfolioAnalytics/man/chart.Concentration.Rd
pkg/PortfolioAnalytics/man/chart.EfficientFrontier.Rd
pkg/PortfolioAnalytics/man/chart.EfficientFrontierOverlay.Rd
pkg/PortfolioAnalytics/man/chart.GroupWeights.Rd
pkg/PortfolioAnalytics/man/chart.RiskBudget.Rd
pkg/PortfolioAnalytics/man/chart.RiskReward.Rd
pkg/PortfolioAnalytics/man/chart.Weights.EF.Rd
pkg/PortfolioAnalytics/man/chart.Weights.Rd
pkg/PortfolioAnalytics/man/check_constraints.Rd
pkg/PortfolioAnalytics/man/cokurtosisMF.Rd
pkg/PortfolioAnalytics/man/cokurtosisSF.Rd
pkg/PortfolioAnalytics/man/combine.optimizations.Rd
pkg/PortfolioAnalytics/man/combine.portfolios.Rd
pkg/PortfolioAnalytics/man/constrained_objective.Rd
pkg/PortfolioAnalytics/man/constraint.Rd
pkg/PortfolioAnalytics/man/constraint_ROI.Rd
pkg/PortfolioAnalytics/man/constraint_v2.Rd
pkg/PortfolioAnalytics/man/coskewnessMF.Rd
pkg/PortfolioAnalytics/man/coskewnessSF.Rd
pkg/PortfolioAnalytics/man/covarianceMF.Rd
pkg/PortfolioAnalytics/man/covarianceSF.Rd
pkg/PortfolioAnalytics/man/create.EfficientFrontier.Rd
pkg/PortfolioAnalytics/man/diversification.Rd
pkg/PortfolioAnalytics/man/diversification_constraint.Rd
pkg/PortfolioAnalytics/man/equal.weight.Rd
pkg/PortfolioAnalytics/man/etl_milp_opt.Rd
pkg/PortfolioAnalytics/man/etl_opt.Rd
pkg/PortfolioAnalytics/man/extractCokurtosis.Rd
pkg/PortfolioAnalytics/man/extractCoskewness.Rd
pkg/PortfolioAnalytics/man/extractCovariance.Rd
pkg/PortfolioAnalytics/man/extractEfficientFrontier.Rd
pkg/PortfolioAnalytics/man/extractGroups.Rd
pkg/PortfolioAnalytics/man/extractObjectiveMeasures.Rd
pkg/PortfolioAnalytics/man/extractStats.Rd
pkg/PortfolioAnalytics/man/extractWeights.Rd
pkg/PortfolioAnalytics/man/factor_exposure_constraint.Rd
pkg/PortfolioAnalytics/man/fn_map.Rd
pkg/PortfolioAnalytics/man/generatesequence.Rd
pkg/PortfolioAnalytics/man/get_constraints.Rd
pkg/PortfolioAnalytics/man/gmv_opt.Rd
pkg/PortfolioAnalytics/man/gmv_opt_ptc.Rd
pkg/PortfolioAnalytics/man/gmv_opt_toc.Rd
pkg/PortfolioAnalytics/man/group_constraint.Rd
pkg/PortfolioAnalytics/man/group_fail.Rd
pkg/PortfolioAnalytics/man/insert_constraints.Rd
pkg/PortfolioAnalytics/man/insert_objectives.Rd
pkg/PortfolioAnalytics/man/inverse.volatility.weight.Rd
pkg/PortfolioAnalytics/man/is.constraint.Rd
pkg/PortfolioAnalytics/man/is.objective.Rd
pkg/PortfolioAnalytics/man/is.portfolio.Rd
pkg/PortfolioAnalytics/man/leverage_exposure_constraint.Rd
pkg/PortfolioAnalytics/man/maxret_milp_opt.Rd
pkg/PortfolioAnalytics/man/maxret_opt.Rd
pkg/PortfolioAnalytics/man/meanetl.efficient.frontier.Rd
pkg/PortfolioAnalytics/man/meanvar.efficient.frontier.Rd
pkg/PortfolioAnalytics/man/minmax_objective.Rd
pkg/PortfolioAnalytics/man/name.replace.Rd
pkg/PortfolioAnalytics/man/objective.Rd
pkg/PortfolioAnalytics/man/optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/optimize.portfolio.parallel.Rd
pkg/PortfolioAnalytics/man/optimize.portfolio.rebalancing.Rd
pkg/PortfolioAnalytics/man/plot.Rd
pkg/PortfolioAnalytics/man/portfolio.moments.boudt.Rd
pkg/PortfolioAnalytics/man/portfolio.spec.Rd
pkg/PortfolioAnalytics/man/portfolio_risk_objective.Rd
pkg/PortfolioAnalytics/man/pos_limit_fail.Rd
pkg/PortfolioAnalytics/man/position_limit_constraint.Rd
pkg/PortfolioAnalytics/man/print.constraint.Rd
pkg/PortfolioAnalytics/man/print.efficient.frontier.Rd
pkg/PortfolioAnalytics/man/print.optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/print.optimize.portfolio.rebalancing.Rd
pkg/PortfolioAnalytics/man/print.portfolio.Rd
pkg/PortfolioAnalytics/man/print.summary.optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/print.summary.optimize.portfolio.rebalancing.Rd
pkg/PortfolioAnalytics/man/quadratic_utility_objective.Rd
pkg/PortfolioAnalytics/man/random_portfolios.Rd
pkg/PortfolioAnalytics/man/random_portfolios_v1.Rd
pkg/PortfolioAnalytics/man/random_walk_portfolios.Rd
pkg/PortfolioAnalytics/man/randomize_portfolio.Rd
pkg/PortfolioAnalytics/man/randomize_portfolio_v1.Rd
pkg/PortfolioAnalytics/man/regime.portfolios.Rd
pkg/PortfolioAnalytics/man/return_constraint.Rd
pkg/PortfolioAnalytics/man/return_objective.Rd
pkg/PortfolioAnalytics/man/risk_budget_objective.Rd
pkg/PortfolioAnalytics/man/rp_grid.Rd
pkg/PortfolioAnalytics/man/rp_sample.Rd
pkg/PortfolioAnalytics/man/rp_simplex.Rd
pkg/PortfolioAnalytics/man/rp_transform.Rd
pkg/PortfolioAnalytics/man/scatterFUN.Rd
pkg/PortfolioAnalytics/man/set.portfolio.moments.Rd
pkg/PortfolioAnalytics/man/set.portfolio.moments_v1.Rd
pkg/PortfolioAnalytics/man/statistical.factor.model.Rd
pkg/PortfolioAnalytics/man/summary.efficient.frontier.Rd
pkg/PortfolioAnalytics/man/summary.optimize.portfolio.Rd
pkg/PortfolioAnalytics/man/summary.optimize.portfolio.rebalancing.Rd
pkg/PortfolioAnalytics/man/summary.portfolio.Rd
pkg/PortfolioAnalytics/man/trailingFUN.Rd
pkg/PortfolioAnalytics/man/transaction_cost_constraint.Rd
pkg/PortfolioAnalytics/man/turnover.Rd
pkg/PortfolioAnalytics/man/turnover_constraint.Rd
pkg/PortfolioAnalytics/man/turnover_objective.Rd
pkg/PortfolioAnalytics/man/update.constraint.Rd
pkg/PortfolioAnalytics/man/update_constraint_v1tov2.Rd
pkg/PortfolioAnalytics/man/var.portfolio.Rd
pkg/PortfolioAnalytics/man/weight_concentration_objective.Rd
pkg/PortfolioAnalytics/man/weight_sum_constraint.Rd
Log:
Modified man/files after updating to roxygen2 version 4.0.1
Modified: pkg/PortfolioAnalytics/DESCRIPTION
===================================================================
--- pkg/PortfolioAnalytics/DESCRIPTION 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/DESCRIPTION 2014-06-16 21:26:51 UTC (rev 3423)
@@ -32,38 +32,3 @@
testthat
License: GPL
Copyright: (c) 2004-2014
-Collate:
- 'charts.DE.R'
- 'charts.RP.R'
- 'constrained_objective.R'
- 'constraints.R'
- 'constraints_ROI.R'
- 'extract.efficient.frontier.R'
- 'extractstats.R'
- 'generics.R'
- 'moment.functions.R'
- 'objective.R'
- 'optimize.portfolio.R'
- 'random_portfolios.R'
- 'trailingFUN.R'
- 'objectiveFUN.R'
- 'portfolio.R'
- 'constraintsFUN.R'
- 'constraint_fn_map.R'
- 'optFUN.R'
- 'charts.ROI.R'
- 'applyFUN.R'
- 'charts.PSO.R'
- 'charts.GenSA.R'
- 'chart.Weights.R'
- 'chart.RiskReward.R'
- 'charts.efficient.frontier.R'
- 'charts.risk.R'
- 'charts.groups.R'
- 'charts.multiple.R'
- 'utility.combine.R'
- 'equal.weight.R'
- 'inverse.volatility.weight.R'
- 'utils.R'
- 'chart.concentration.R'
- 'stat.factor.model.R'
Modified: pkg/PortfolioAnalytics/NAMESPACE
===================================================================
--- pkg/PortfolioAnalytics/NAMESPACE 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/NAMESPACE 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,8 +1,82 @@
+# Generated by roxygen2 (4.0.1): do not edit by hand
+
+S3method(chart.EfficientFrontier,efficient.frontier)
+S3method(chart.EfficientFrontier,optimize.portfolio)
+S3method(chart.EfficientFrontier,optimize.portfolio.ROI)
+S3method(chart.RiskBudget,opt.list)
+S3method(chart.RiskBudget,optimize.portfolio)
+S3method(chart.RiskBudget,optimize.portfolio.rebalancing)
+S3method(chart.RiskReward,opt.list)
+S3method(chart.RiskReward,optimize.portfolio.DEoptim)
+S3method(chart.RiskReward,optimize.portfolio.GenSA)
+S3method(chart.RiskReward,optimize.portfolio.ROI)
+S3method(chart.RiskReward,optimize.portfolio.pso)
+S3method(chart.RiskReward,optimize.portfolio.random)
+S3method(chart.Weights,opt.list)
+S3method(chart.Weights,optimize.portfolio.DEoptim)
+S3method(chart.Weights,optimize.portfolio.GenSA)
+S3method(chart.Weights,optimize.portfolio.ROI)
+S3method(chart.Weights,optimize.portfolio.pso)
+S3method(chart.Weights,optimize.portfolio.random)
+S3method(chart.Weights,optimize.portfolio.rebalancing)
+S3method(chart.Weights.EF,efficient.frontier)
+S3method(chart.Weights.EF,optimize.portfolio)
+S3method(extractObjectiveMeasures,opt.list)
+S3method(extractObjectiveMeasures,opt.rebal.list)
+S3method(extractObjectiveMeasures,optimize.portfolio)
+S3method(extractObjectiveMeasures,optimize.portfolio.rebalancing)
+S3method(extractObjectiveMeasures,summary.optimize.portfolio.rebalancing)
+S3method(extractStats,opt.list)
+S3method(extractStats,opt.rebal.list)
+S3method(extractStats,optimize.portfolio.DEoptim)
+S3method(extractStats,optimize.portfolio.GenSA)
+S3method(extractStats,optimize.portfolio.ROI)
+S3method(extractStats,optimize.portfolio.eqwt)
+S3method(extractStats,optimize.portfolio.invol)
+S3method(extractStats,optimize.portfolio.parallel)
+S3method(extractStats,optimize.portfolio.pso)
+S3method(extractStats,optimize.portfolio.random)
+S3method(extractStats,optimize.portfolio.rebalancing)
+S3method(extractWeights,opt.list)
+S3method(extractWeights,opt.rebal.list)
+S3method(extractWeights,optimize.portfolio)
+S3method(extractWeights,optimize.portfolio.rebalancing)
+S3method(extractWeights,summary.optimize.portfolio.rebalancing)
+S3method(plot,optimize.portfolio)
+S3method(plot,optimize.portfolio.DEoptim)
+S3method(plot,optimize.portfolio.GenSA)
+S3method(plot,optimize.portfolio.ROI)
+S3method(plot,optimize.portfolio.pso)
+S3method(plot,optimize.portfolio.random)
+S3method(print,constraint)
+S3method(print,efficient.frontier)
+S3method(print,opt.list)
+S3method(print,opt.rebal.list)
+S3method(print,optimize.portfolio.DEoptim)
+S3method(print,optimize.portfolio.GenSA)
+S3method(print,optimize.portfolio.ROI)
+S3method(print,optimize.portfolio.pso)
+S3method(print,optimize.portfolio.random)
+S3method(print,optimize.portfolio.rebalancing)
+S3method(print,portfolio)
+S3method(print,portfolio.list)
+S3method(print,regime.portfolios)
+S3method(print,summary.optimize.portfolio)
+S3method(print,summary.optimize.portfolio.rebalancing)
+S3method(summary,efficient.frontier)
+S3method(summary,optimize.portfolio)
+S3method(summary,optimize.portfolio.rebalancing)
+S3method(summary,portfolio)
+S3method(update,constraint)
+export(CCCgarch.MM)
+export(HHI)
export(add.constraint)
export(add.objective)
+export(add.objective_v1)
+export(add.objective_v2)
+export(add.sub.portfolio)
export(applyFUN)
export(box_constraint)
-export(CCCgarch.MM)
export(center)
export(chart.Concentration)
export(chart.EfficientFrontier)
@@ -10,17 +84,18 @@
export(chart.GroupWeights)
export(chart.RiskBudget)
export(chart.RiskReward)
+export(chart.Weights)
export(chart.Weights.EF)
-export(chart.Weights)
export(combine.optimizations)
export(combine.portfolios)
+export(constrained_objective)
+export(constrained_objective_v1)
export(constrained_objective_v2)
-export(constrained_objective)
+export(constraint)
export(constraint_ROI)
-export(constraint)
export(create.EfficientFrontier)
+export(diversification)
export(diversification_constraint)
-export(diversification)
export(equal.weight)
export(extractCokurtosis)
export(extractCoskewness)
@@ -34,7 +109,6 @@
export(fn_map)
export(generatesequence)
export(group_constraint)
-export(HHI)
export(insert_objectives)
export(inverse.volatility.weight)
export(is.constraint)
@@ -44,24 +118,27 @@
export(meanetl.efficient.frontier)
export(meanvar.efficient.frontier)
export(minmax_objective)
+export(mult.portfolio.spec)
export(objective)
-export(optimize.portfolio_v2)
+export(optimize.portfolio)
export(optimize.portfolio.parallel)
export(optimize.portfolio.rebalancing)
-export(optimize.portfolio)
-export(portfolio_risk_objective)
+export(optimize.portfolio.rebalancing_v1)
+export(optimize.portfolio_v1)
+export(optimize.portfolio_v2)
export(portfolio.moments.boudt)
export(portfolio.spec)
+export(portfolio_risk_objective)
export(pos_limit_fail)
export(position_limit_constraint)
export(quadratic_utility_objective)
+export(random_portfolios)
export(random_portfolios_v1)
export(random_portfolios_v2)
-export(random_portfolios)
export(random_walk_portfolios)
+export(randomize_portfolio)
export(randomize_portfolio_v1)
export(randomize_portfolio_v2)
-export(randomize_portfolio)
export(regime.portfolios)
export(return_constraint)
export(return_objective)
@@ -71,85 +148,17 @@
export(rp_simplex)
export(rp_transform)
export(scatterFUN)
+export(set.portfolio.moments)
export(set.portfolio.moments_v1)
export(set.portfolio.moments_v2)
-export(set.portfolio.moments)
export(statistical.factor.model)
export(trailingFUN)
export(transaction_cost_constraint)
+export(turnover)
export(turnover_constraint)
export(turnover_objective)
-export(turnover)
export(update_constraint_v1tov2)
export(var.portfolio)
export(weight_concentration_objective)
export(weight_sum_constraint)
-S3method(chart.EfficientFrontier,efficient.frontier)
-S3method(chart.EfficientFrontier,optimize.portfolio.ROI)
-S3method(chart.EfficientFrontier,optimize.portfolio)
-S3method(chart.RiskBudget,opt.list)
-S3method(chart.RiskBudget,optimize.portfolio.rebalancing)
-S3method(chart.RiskBudget,optimize.portfolio)
-S3method(chart.RiskReward,opt.list)
-S3method(chart.RiskReward,optimize.portfolio.DEoptim)
-S3method(chart.RiskReward,optimize.portfolio.GenSA)
-S3method(chart.RiskReward,optimize.portfolio.pso)
-S3method(chart.RiskReward,optimize.portfolio.random)
-S3method(chart.RiskReward,optimize.portfolio.ROI)
-S3method(chart.Weights,opt.list)
-S3method(chart.Weights,optimize.portfolio.DEoptim)
-S3method(chart.Weights,optimize.portfolio.GenSA)
-S3method(chart.Weights,optimize.portfolio.pso)
-S3method(chart.Weights,optimize.portfolio.random)
-S3method(chart.Weights,optimize.portfolio.rebalancing)
-S3method(chart.Weights,optimize.portfolio.ROI)
-S3method(chart.Weights.EF,efficient.frontier)
-S3method(chart.Weights.EF,optimize.portfolio)
-S3method(extractObjectiveMeasures,opt.list)
-S3method(extractObjectiveMeasures,opt.rebal.list)
-S3method(extractObjectiveMeasures,optimize.portfolio.rebalancing)
-S3method(extractObjectiveMeasures,optimize.portfolio)
-S3method(extractObjectiveMeasures,summary.optimize.portfolio.rebalancing)
-S3method(extractStats,opt.list)
-S3method(extractStats,opt.rebal.list)
-S3method(extractStats,optimize.portfolio.DEoptim)
-S3method(extractStats,optimize.portfolio.eqwt)
-S3method(extractStats,optimize.portfolio.GenSA)
-S3method(extractStats,optimize.portfolio.invol)
-S3method(extractStats,optimize.portfolio.parallel)
-S3method(extractStats,optimize.portfolio.pso)
-S3method(extractStats,optimize.portfolio.random)
-S3method(extractStats,optimize.portfolio.rebalancing)
-S3method(extractStats,optimize.portfolio.ROI)
-S3method(extractWeights,opt.list)
-S3method(extractWeights,opt.rebal.list)
-S3method(extractWeights,optimize.portfolio.rebalancing)
-S3method(extractWeights,optimize.portfolio)
-S3method(extractWeights,summary.optimize.portfolio.rebalancing)
-S3method(plot,optimize.portfolio.DEoptim)
-S3method(plot,optimize.portfolio.GenSA)
-S3method(plot,optimize.portfolio.pso)
-S3method(plot,optimize.portfolio.random)
-S3method(plot,optimize.portfolio.ROI)
-S3method(plot,optimize.portfolio)
-S3method(print,constraint)
-S3method(print,efficient.frontier)
-S3method(print,opt.list)
-S3method(print,opt.rebal.list)
-S3method(print,optimize.portfolio.DEoptim)
-S3method(print,optimize.portfolio.GenSA)
-S3method(print,optimize.portfolio.pso)
-S3method(print,optimize.portfolio.random)
-S3method(print,optimize.portfolio.rebalancing)
-S3method(print,optimize.portfolio.ROI)
-S3method(print,portfolio.list)
-S3method(print,portfolio)
-S3method(print,regime.portfolios)
-S3method(print,summary.optimize.portfolio.rebalancing)
-S3method(print,summary.optimize.portfolio)
-S3method(summary,efficient.frontier)
-S3method(summary,optimize.portfolio.rebalancing)
-S3method(summary,optimize.portfolio)
-S3method(summary,portfolio)
-S3method(update,constraint)
useDynLib("PortfolioAnalytics")
Modified: pkg/PortfolioAnalytics/man/CCCgarch.MM.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/CCCgarch.MM.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/CCCgarch.MM.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{CCCgarch.MM}
\alias{CCCgarch.MM}
\title{compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model}
@@ -2,19 +3,15 @@
\usage{
- CCCgarch.MM(R, momentargs = NULL, ...)
+CCCgarch.MM(R, momentargs = NULL, ...)
}
\arguments{
- \item{R}{an xts, vector, matrix, data frame, timeSeries
- or zoo object of asset returns}
+\item{R}{an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns}
- \item{momentargs}{list containing arguments to be passed
- down to lower level functions, default NULL}
+\item{momentargs}{list containing arguments to be passed down to lower level functions, default NULL}
- \item{\dots}{any other passthru parameters}
+\item{\dots}{any other passthru parameters}
}
\description{
- it first estimates the conditional GARCH variances, then
- filters out the time-varying volatility and estimates the
- higher order comoments on the innovations rescaled such
- that their unconditional covariance matrix is the
- conditional covariance matrix forecast
+it first estimates the conditional GARCH variances, then filters out the
+time-varying volatility and estimates the higher order comoments on the innovations
+rescaled such that their unconditional covariance matrix is the conditional covariance matrix forecast
}
Modified: pkg/PortfolioAnalytics/man/HHI.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/HHI.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/HHI.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{HHI}
\alias{HHI}
\title{Concentration of weights}
@@ -2,15 +3,14 @@
\usage{
- HHI(weights, groups = NULL)
+HHI(weights, groups = NULL)
}
\arguments{
- \item{weights}{set of portfolio weights}
+\item{weights}{set of portfolio weights}
- \item{groups}{list of vectors of grouping}
+\item{groups}{list of vectors of grouping}
}
\description{
- This function computes the concentration of weights using
- the Herfindahl Hirschman Index
+This function computes the concentration of weights using the Herfindahl Hirschman Index
}
\author{
- Ross Bennett
+Ross Bennett
}
Modified: pkg/PortfolioAnalytics/man/add.constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/add.constraint.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/add.constraint.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{add.constraint}
\alias{add.constraint}
\title{General interface for adding and/or updating optimization constraints.}
@@ -2,63 +3,37 @@
\usage{
- add.constraint(portfolio, type, enabled = TRUE,
- message = FALSE, ..., indexnum = NULL)
+add.constraint(portfolio, type, enabled = TRUE, message = FALSE, ...,
+ indexnum = NULL)
}
\arguments{
- \item{portfolio}{an object of class 'portfolio' to add
- the constraint to, specifying the constraints for the
- optimization, see \code{\link{portfolio.spec}}}
+\item{portfolio}{an object of class 'portfolio' to add the constraint to, specifying the constraints for the optimization, see \code{\link{portfolio.spec}}}
- \item{type}{character type of the constraint to add or
- update, currently 'weight_sum' (also 'leverage' or
- 'weight'), 'box', 'group', 'turnover', 'diversification',
- 'position_limit', 'return', or 'factor_exposure'}
+\item{type}{character type of the constraint to add or update, currently 'weight_sum' (also 'leverage' or 'weight'), 'box', 'group', 'turnover', 'diversification', 'position_limit', 'return', or 'factor_exposure'}
- \item{enabled}{TRUE/FALSE. The default is enabled=TRUE.}
+\item{enabled}{TRUE/FALSE. The default is enabled=TRUE.}
- \item{message}{TRUE/FALSE. The default is message=FALSE.
- Display messages if TRUE.}
+\item{message}{TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.}
- \item{\dots}{any other passthru parameters to specify
- constraints}
+\item{\dots}{any other passthru parameters to specify constraints}
- \item{indexnum}{if you are updating a specific
- constraint, the index number in the $constraints list to
- update}
+\item{indexnum}{if you are updating a specific constraint, the index number in the $constraints list to update}
}
\description{
- This is the main function for adding and/or updating
- constraints to the \code{\link{portfolio.spec}} object.
+This is the main function for adding and/or updating constraints to the \code{\link{portfolio.spec}} object.
}
\details{
- The following constraint types may be specified:
- \itemize{ \item{\code{weight_sum}, \code{weight},
- \code{leverage}}{ Specify constraint on the sum of the
- weights, see \code{\link{weight_sum_constraint}} }
- \item{\code{full_investment}}{ Special case to set
- \code{min_sum=1} and \code{max_sum=1} of weight sum
- constraints } \item{\code{dollar_neutral},
- \code{active}}{ Special case to set \code{min_sum=0} and
- \code{max_sum=0} of weight sum constraints }
- \item{\code{box}}{ box constraints for the individual
- asset weights, see \code{\link{box_constraint}} }
- \item{\code{long_only}}{ Special case to set \code{min=0}
- and \code{max=1} of box constraints }
- \item{\code{group}}{ specify the sum of weights within
- groups and the number of assets with non-zero weights in
- groups, see \code{\link{group_constraint}} }
- \item{\code{turnover}}{ Specify a constraint for target
- turnover. Turnover is calculated from a set of initial
- weights, see \code{\link{turnover_constraint}} }
- \item{\code{diversification}}{ target diversification of
- a set of weights, see
- \code{\link{diversification_constraint}} }
- \item{\code{position_limit}}{ Specify the number of
- non-zero, long, and/or short positions, see
- \code{\link{position_limit_constraint}} }
- \item{\code{return}}{ Specify the target mean return, see
- \code{\link{return_constraint}}}
- \item{\code{factor_exposure}}{ Specify risk factor
- exposures, see \code{\link{factor_exposure_constraint}}}
- }
+The following constraint types may be specified:
+\itemize{
+\item{\code{weight_sum}, \code{weight}, \code{leverage}}{ Specify constraint on the sum of the weights, see \code{\link{weight_sum_constraint}} }
+\item{\code{full_investment}}{ Special case to set \code{min_sum=1} and \code{max_sum=1} of weight sum constraints }
+\item{\code{dollar_neutral}, \code{active}}{ Special case to set \code{min_sum=0} and \code{max_sum=0} of weight sum constraints }
+\item{\code{box}}{ box constraints for the individual asset weights, see \code{\link{box_constraint}} }
+\item{\code{long_only}}{ Special case to set \code{min=0} and \code{max=1} of box constraints }
+\item{\code{group}}{ specify the sum of weights within groups and the number of assets with non-zero weights in groups, see \code{\link{group_constraint}} }
+\item{\code{turnover}}{ Specify a constraint for target turnover. Turnover is calculated from a set of initial weights, see \code{\link{turnover_constraint}} }
+\item{\code{diversification}}{ target diversification of a set of weights, see \code{\link{diversification_constraint}} }
+\item{\code{position_limit}}{ Specify the number of non-zero, long, and/or short positions, see \code{\link{position_limit_constraint}} }
+\item{\code{return}}{ Specify the target mean return, see \code{\link{return_constraint}}}
+\item{\code{factor_exposure}}{ Specify risk factor exposures, see \code{\link{factor_exposure_constraint}}}
}
+}
\examples{
@@ -127,17 +102,17 @@
indexnum=2)
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link{portfolio.spec}}
- \code{\link{weight_sum_constraint}},
- \code{\link{box_constraint}},
- \code{\link{group_constraint}},
- \code{\link{turnover_constraint}},
- \code{\link{diversification_constraint}},
- \code{\link{position_limit_constraint}},
- \code{\link{return_constraint}},
- \code{\link{factor_exposure_constraint}}
+\code{\link{portfolio.spec}}
+\code{\link{weight_sum_constraint}},
+\code{\link{box_constraint}},
+\code{\link{group_constraint}},
+\code{\link{turnover_constraint}},
+\code{\link{diversification_constraint}},
+\code{\link{position_limit_constraint}},
+\code{\link{return_constraint}},
+\code{\link{factor_exposure_constraint}}
}
Modified: pkg/PortfolioAnalytics/man/add.objective.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/add.objective.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/add.objective.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{add.objective}
\alias{add.objective}
\alias{add.objective_v1}
@@ -4,56 +5,41 @@
\alias{add.objective_v2}
\title{General interface for adding optimization objectives, including risk, return, and risk budget}
\usage{
- add.objective_v1(constraints, type, name,
- arguments = NULL, enabled = TRUE, ..., indexnum = NULL)
+add.objective_v1(constraints, type, name, arguments = NULL, enabled = TRUE,
+ ..., indexnum = NULL)
- add.objective_v2(portfolio, constraints = NULL, type,
- name, arguments = NULL, enabled = TRUE, ...,
- indexnum = NULL)
+add.objective_v2(portfolio, constraints = NULL, type, name,
+ arguments = NULL, enabled = TRUE, ..., indexnum = NULL)
- add.objective(portfolio, constraints = NULL, type, name,
- arguments = NULL, enabled = TRUE, ..., indexnum = NULL)
+add.objective(portfolio, constraints = NULL, type, name, arguments = NULL,
+ enabled = TRUE, ..., indexnum = NULL)
}
\arguments{
- \item{portfolio}{an object of type 'portfolio' to add the
- objective to, specifying the portfolio for the
- optimization, see \code{\link{portfolio}}}
+\item{portfolio}{an object of type 'portfolio' to add the objective to, specifying the portfolio for the optimization, see \code{\link{portfolio}}}
- \item{constraints}{a 'v1_constraint' object for backwards
- compatibility, see \code{\link{constraint}}}
+\item{constraints}{a 'v1_constraint' object for backwards compatibility, see \code{\link{constraint}}}
- \item{type}{character type of the objective to add or
- update, currently 'return','risk', 'risk_budget',
- 'quadratic_utility', or 'weight_concentration'}
+\item{type}{character type of the objective to add or update, currently 'return','risk', 'risk_budget', 'quadratic_utility', or 'weight_concentration'}
- \item{name}{name of the objective, should correspond to a
- function, though we will try to make allowances}
+\item{name}{name of the objective, should correspond to a function, though we will try to make allowances}
- \item{arguments}{default arguments to be passed to an
- objective function when executed}
+\item{arguments}{default arguments to be passed to an objective function when executed}
- \item{enabled}{TRUE/FALSE}
+\item{enabled}{TRUE/FALSE}
- \item{\dots}{any other passthru parameters}
+\item{\dots}{any other passthru parameters}
- \item{indexnum}{if you are updating a specific objective,
- the index number in the $objectives list to update}
+\item{indexnum}{if you are updating a specific objective, the index number in the $objectives list to update}
}
\description{
- This function is the main function for adding and
- updating business objectives in an object of type
- \code{\link{portfolio.spec}}.
+This function is the main function for adding and updating business objectives in an object of type \code{\link{portfolio.spec}}.
}
\details{
- In general, you will define your objective as one of the
- following types: 'return', 'risk', 'risk_budget',
- 'quadratic utility', or 'weight_concentration'. These
- have special handling and intelligent defaults for
- dealing with the function most likely to be used as
- objectives, including mean, median, VaR, ES, etc.
+In general, you will define your objective as one of the following types: 'return', 'risk', 'risk_budget', 'quadratic utility', or 'weight_concentration'.
+These have special handling and intelligent defaults for dealing with the function most likely to be
+used as objectives, including mean, median, VaR, ES, etc.
- Objectives of type 'turnover' and 'minmax' are also
- supported.
+Objectives of type 'turnover' and 'minmax' are also supported.
}
\examples{
data(edhec)
@@ -105,9 +91,9 @@
name="HHI", conc_aversion=0.01)
}
\author{
- Brian G. Peterson and Ross Bennett
+Brian G. Peterson and Ross Bennett
}
\seealso{
- \code{\link{objective}}, \code{\link{portfolio.spec}}
+\code{\link{objective}}, \code{\link{portfolio.spec}}
}
Modified: pkg/PortfolioAnalytics/man/applyFUN.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/applyFUN.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/applyFUN.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{applyFUN}
\alias{applyFUN}
\title{Apply a risk or return function to a set of weights}
@@ -2,21 +3,19 @@
\usage{
- applyFUN(R, weights, FUN = "mean", arguments)
+applyFUN(R, weights, FUN = "mean", arguments)
}
\arguments{
- \item{R}{xts object of asset returns}
+\item{R}{xts object of asset returns}
- \item{weights}{a matrix of weights generated from
- random_portfolios or \code{optimize.portfolio}}
+\item{weights}{a matrix of weights generated from random_portfolios or \code{optimize.portfolio}}
- \item{FUN}{name of a function}
+\item{FUN}{name of a function}
- \item{arguments}{named list of arguments to FUN}
+\item{arguments}{named list of arguments to FUN}
}
\description{
- This function is used to calculate risk or return metrics
- given a matrix of weights and is primarily used as a
- convenience function used in chart.Scatter functions
+This function is used to calculate risk or return metrics given a matrix of
+weights and is primarily used as a convenience function used in chart.Scatter functions
}
\author{
- Ross Bennett
+Ross Bennett
}
Modified: pkg/PortfolioAnalytics/man/barplotGroupWeights.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/barplotGroupWeights.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/barplotGroupWeights.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{barplotGroupWeights}
\alias{barplotGroupWeights}
\title{barplot of group weights by group or category}
@@ -2,45 +3,39 @@
\usage{
- barplotGroupWeights(object, ...,
- grouping = c("groups", "category"),
- main = "Group Weights", las = 3, xlab = NULL,
- cex.lab = 0.8, element.color = "darkgray",
- cex.axis = 0.8)
+barplotGroupWeights(object, ..., grouping = c("groups", "category"),
+ main = "Group Weights", las = 3, xlab = NULL, cex.lab = 0.8,
+ element.color = "darkgray", cex.axis = 0.8)
}
\arguments{
- \item{object}{object of class \code{optimize.portfolio}}
+\item{object}{object of class \code{optimize.portfolio}}
- \item{...}{passthrough parameters to \code{\link{plot}}}
+\item{...}{passthrough parameters to \code{\link{plot}}}
- \item{grouping}{\itemize{ \item{groups: }{group the
- weights by group constraints} \item{category_labels:
- }{group the weights by category_labels in portfolio
- object} }}
+\item{grouping}{\itemize{
+ \item{groups: }{group the weights by group constraints}
+ \item{category_labels: }{group the weights by category_labels in portfolio object}
+}}
- \item{main}{an overall title for the plot: see
- \code{\link{title}}}
+\item{main}{an overall title for the plot: see \code{\link{title}}}
- \item{las}{numeric in \{0,1,2,3\}; the style of axis
- labels \describe{ \item{0:}{always parallel to the axis
- [\emph{default}],} \item{1:}{always horizontal,}
+\item{las}{numeric in \{0,1,2,3\}; the style of axis labels
+\describe{
+ \item{0:}{always parallel to the axis [\emph{default}],}
+ \item{1:}{always horizontal,}
\item{2:}{always perpendicular to the axis,}
- \item{3:}{always vertical.} }}
+ \item{3:}{always vertical.}
+}}
- \item{xlab}{a title for the x axis: see
- \code{\link{title}}}
+\item{xlab}{a title for the x axis: see \code{\link{title}}}
- \item{cex.lab}{The magnification to be used for x and y
- labels relative to the current setting of \code{cex}}
+\item{cex.lab}{The magnification to be used for x and y labels relative to the current setting of \code{cex}}
- \item{element.color}{color for the default border and
- axis}
+\item{element.color}{color for the default border and axis}
- \item{cex.axis}{The magnification to be used for x and y
- axis relative to the current setting of \code{cex}}
+\item{cex.axis}{The magnification to be used for x and y axis relative to the current setting of \code{cex}}
}
\description{
- This function is called by chart.GroupWeights function if
- chart.type="barplot"
+This function is called by chart.GroupWeights function if chart.type="barplot"
}
\author{
- Ross Bennett
+Ross Bennett
}
Modified: pkg/PortfolioAnalytics/man/box_constraint.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/box_constraint.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/box_constraint.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{box_constraint}
\alias{box_constraint}
\title{constructor for box_constraint.}
@@ -2,41 +3,30 @@
\usage{
- box_constraint(type = "box", assets, min, max, min_mult,
- max_mult, enabled = TRUE, message = FALSE, ...)
+box_constraint(type = "box", assets, min, max, min_mult, max_mult,
+ enabled = TRUE, message = FALSE, ...)
}
\arguments{
- \item{type}{character type of the constraint}
+\item{type}{character type of the constraint}
- \item{assets}{number of assets, or optionally a named
- vector of assets specifying initial weights}
+\item{assets}{number of assets, or optionally a named vector of assets specifying initial weights}
- \item{min}{numeric or named vector specifying minimum
- weight box constraints}
+\item{min}{numeric or named vector specifying minimum weight box constraints}
- \item{max}{numeric or named vector specifying minimum
- weight box constraints}
+\item{max}{numeric or named vector specifying minimum weight box constraints}
- \item{min_mult}{numeric or named vector specifying
- minimum multiplier box constraint from initial weight in
- \code{assets}}
+\item{min_mult}{numeric or named vector specifying minimum multiplier box constraint from initial weight in \code{assets}}
- \item{max_mult}{numeric or named vector specifying
- maximum multiplier box constraint from initial weight in
- \code{assets}}
+\item{max_mult}{numeric or named vector specifying maximum multiplier box constraint from initial weight in \code{assets}}
- \item{enabled}{TRUE/FALSE}
+\item{enabled}{TRUE/FALSE}
- \item{message}{TRUE/FALSE. The default is message=FALSE.
- Display messages if TRUE.}
+\item{message}{TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.}
- \item{\dots}{any other passthru parameters to specify box
- constraints}
+\item{\dots}{any other passthru parameters to specify box constraints}
}
\value{
- an object of class 'box_constraint'
+an object of class 'box_constraint'
}
\description{
- Box constraints specify the upper and lower bounds on the
- weights of the assets. This function is called by
- add.constraint when type="box" is specified. See
- \code{\link{add.constraint}}.
+Box constraints specify the upper and lower bounds on the weights of the assets.
+This function is called by add.constraint when type="box" is specified. See \code{\link{add.constraint}}.
}
@@ -58,9 +48,9 @@
pspec <- add.constraint(pspec, type="box", min=c(0.05, 0.10, 0.08, 0.06), max=c(0.45, 0.55, 0.35, 0.65))
}
\author{
- Ross Bennett
+Ross Bennett
}
\seealso{
- \code{\link{add.constraint}}
+\code{\link{add.constraint}}
}
Modified: pkg/PortfolioAnalytics/man/center.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/center.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/center.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{center}
\alias{center}
\title{Center}
@@ -2,20 +3,19 @@
\usage{
- center(x)
+center(x)
}
\arguments{
- \item{x}{matrix}
+\item{x}{matrix}
}
\value{
- matrix of centered data
+matrix of centered data
}
\description{
- Center a matrix
+Center a matrix
}
\details{
- This function is used primarily to center a time series
- of asset returns or factors. Each column should represent
- the returns of an asset or factor realizations. The
- expected value is taken as the sample mean.
+This function is used primarily to center a time series of asset returns or
+factors. Each column should represent the returns of an asset or factor
+realizations. The expected value is taken as the sample mean.
- x.centered = x - mean(x)
+x.centered = x - mean(x)
}
Modified: pkg/PortfolioAnalytics/man/chart.Concentration.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/chart.Concentration.Rd 2014-06-16 21:23:54 UTC (rev 3422)
+++ pkg/PortfolioAnalytics/man/chart.Concentration.Rd 2014-06-16 21:26:51 UTC (rev 3423)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
\name{chart.Concentration}
\alias{chart.Concentration}
\title{Classic risk reward scatter and concentration}
@@ -2,53 +3,42 @@
\usage{
- chart.Concentration(object, ..., return.col = "mean",
- risk.col = "ES", chart.assets = FALSE,
- conc.type = c("weights", "pct_contrib"),
- col = heat.colors(20), element.color = "darkgray",
- cex.axis = 0.8, xlim = NULL, ylim = NULL)
+chart.Concentration(object, ..., return.col = "mean", risk.col = "ES",
+ chart.assets = FALSE, conc.type = c("weights", "pct_contrib"),
+ col = heat.colors(20), element.color = "darkgray", cex.axis = 0.8,
+ xlim = NULL, ylim = NULL)
}
\arguments{
- \item{object}{optimal portfolio created by
- \code{\link{optimize.portfolio}}.}
+\item{object}{optimal portfolio created by \code{\link{optimize.portfolio}}.}
- \item{\dots}{any other passthru parameters.}
+\item{\dots}{any other passthru parameters.}
- \item{return.col}{string matching the objective of a
- 'return' objective, on vertical axis.}
+\item{return.col}{string matching the objective of a 'return' objective, on vertical axis.}
- \item{risk.col}{string matching the objective of a 'risk'
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 3423
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