[Returnanalytics-commits] r3581 - in pkg/PortfolioAnalytics: . R demo man sandbox
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Jan 7 14:12:50 CET 2015
Author: braverock
Date: 2015-01-07 14:12:49 +0100 (Wed, 07 Jan 2015)
New Revision: 3581
Removed:
pkg/PortfolioAnalytics/man/constraint_ROI.Rd
Modified:
pkg/PortfolioAnalytics/DESCRIPTION
pkg/PortfolioAnalytics/R/applyFUN.R
pkg/PortfolioAnalytics/R/chart.RiskReward.R
pkg/PortfolioAnalytics/R/chart.Weights.R
pkg/PortfolioAnalytics/R/charts.DE.R
pkg/PortfolioAnalytics/R/charts.GenSA.R
pkg/PortfolioAnalytics/R/charts.PSO.R
pkg/PortfolioAnalytics/R/charts.ROI.R
pkg/PortfolioAnalytics/R/charts.RP.R
pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
pkg/PortfolioAnalytics/R/charts.groups.R
pkg/PortfolioAnalytics/R/charts.multiple.R
pkg/PortfolioAnalytics/R/charts.risk.R
pkg/PortfolioAnalytics/R/constrained_objective.R
pkg/PortfolioAnalytics/R/constraint_fn_map.R
pkg/PortfolioAnalytics/R/constraints.R
pkg/PortfolioAnalytics/R/constraintsFUN.R
pkg/PortfolioAnalytics/R/constraints_ROI.R
pkg/PortfolioAnalytics/R/equal.weight.R
pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
pkg/PortfolioAnalytics/R/extractstats.R
pkg/PortfolioAnalytics/R/generics.R
pkg/PortfolioAnalytics/R/inverse.volatility.weight.R
pkg/PortfolioAnalytics/R/moment.functions.R
pkg/PortfolioAnalytics/R/objective.R
pkg/PortfolioAnalytics/R/objectiveFUN.R
pkg/PortfolioAnalytics/R/optFUN.R
pkg/PortfolioAnalytics/R/optimize.portfolio.R
pkg/PortfolioAnalytics/R/portfolio.R
pkg/PortfolioAnalytics/R/random_portfolios.R
pkg/PortfolioAnalytics/R/stat.factor.model.R
pkg/PortfolioAnalytics/R/trailingFUN.R
pkg/PortfolioAnalytics/R/utility.combine.R
pkg/PortfolioAnalytics/R/utils.R
pkg/PortfolioAnalytics/codeblock.txt
pkg/PortfolioAnalytics/demo/sortino.R
pkg/PortfolioAnalytics/sandbox/script.UW2012.R
pkg/PortfolioAnalytics/sandbox/script.buildEDHEC.R
Log:
- updaate Copyright to 2015
- change version numbering model to major.minor.svnrev
Modified: pkg/PortfolioAnalytics/DESCRIPTION
===================================================================
--- pkg/PortfolioAnalytics/DESCRIPTION 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/DESCRIPTION 2015-01-07 13:12:49 UTC (rev 3581)
@@ -2,7 +2,7 @@
Type: Package
Title: Portfolio Analysis, including Numerical Methods for Optimization
of Portfolios
-Version: 0.9.0
+Version: 0.9.3581
Date: $Date$
Author: Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
Contributors: R. Douglas Martin, Guy Yollin, Hezky Varon
@@ -32,4 +32,4 @@
testthat,
nloptr (>= 1.0.0)
License: GPL
-Copyright: (c) 2004-2014
+Copyright: (c) 2004-2015
Modified: pkg/PortfolioAnalytics/R/applyFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/applyFUN.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/applyFUN.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -158,7 +158,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/chart.RiskReward.R
===================================================================
--- pkg/PortfolioAnalytics/R/chart.RiskReward.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/chart.RiskReward.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -41,7 +41,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/chart.Weights.R
===================================================================
--- pkg/PortfolioAnalytics/R/chart.Weights.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/chart.Weights.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -107,7 +107,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.DE.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.DE.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.DE.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.GenSA.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.GenSA.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.GenSA.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -171,7 +171,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.PSO.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.PSO.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.PSO.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -232,7 +232,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.ROI.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.ROI.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.ROI.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -172,7 +172,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.RP.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.RP.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.RP.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.efficient.frontier.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.efficient.frontier.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -629,7 +629,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.groups.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.groups.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.groups.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -139,7 +139,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.multiple.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.multiple.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.multiple.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -153,7 +153,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/charts.risk.R
===================================================================
--- pkg/PortfolioAnalytics/R/charts.risk.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/charts.risk.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -461,7 +461,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/constrained_objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/constrained_objective.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/constrained_objective.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/constraint_fn_map.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraint_fn_map.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/constraint_fn_map.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1102,7 +1102,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/constraints.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/constraints.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/constraintsFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraintsFUN.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/constraintsFUN.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -16,7 +16,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/constraints_ROI.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraints_ROI.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/constraints_ROI.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -64,7 +64,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/equal.weight.R
===================================================================
--- pkg/PortfolioAnalytics/R/equal.weight.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/equal.weight.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -52,7 +52,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/extract.efficient.frontier.R
===================================================================
--- pkg/PortfolioAnalytics/R/extract.efficient.frontier.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/extract.efficient.frontier.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/extractstats.R
===================================================================
--- pkg/PortfolioAnalytics/R/extractstats.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/extractstats.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/generics.R
===================================================================
--- pkg/PortfolioAnalytics/R/generics.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/generics.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/inverse.volatility.weight.R
===================================================================
--- pkg/PortfolioAnalytics/R/inverse.volatility.weight.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/inverse.volatility.weight.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -53,7 +53,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/moment.functions.R
===================================================================
--- pkg/PortfolioAnalytics/R/moment.functions.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/moment.functions.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/objective.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/objective.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/objectiveFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/objectiveFUN.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/objectiveFUN.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -73,7 +73,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/optFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/optFUN.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/optFUN.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1452,7 +1452,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/optimize.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/optimize.portfolio.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/optimize.portfolio.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/portfolio.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/portfolio.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/random_portfolios.R
===================================================================
--- pkg/PortfolioAnalytics/R/random_portfolios.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/random_portfolios.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/stat.factor.model.R
===================================================================
--- pkg/PortfolioAnalytics/R/stat.factor.model.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/stat.factor.model.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/trailingFUN.R
===================================================================
--- pkg/PortfolioAnalytics/R/trailingFUN.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/trailingFUN.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,7 +1,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/utility.combine.R
===================================================================
--- pkg/PortfolioAnalytics/R/utility.combine.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/utility.combine.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -40,7 +40,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/R/utils.R
===================================================================
--- pkg/PortfolioAnalytics/R/utils.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/R/utils.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -55,7 +55,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/codeblock.txt
===================================================================
--- pkg/PortfolioAnalytics/codeblock.txt 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/codeblock.txt 2015-01-07 13:12:49 UTC (rev 3581)
@@ -2,7 +2,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2014 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
+# Copyright (c) 2004-2015 Brian G. Peterson, Peter Carl, Ross Bennett, Kris Boudt
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Modified: pkg/PortfolioAnalytics/demo/sortino.R
===================================================================
--- pkg/PortfolioAnalytics/demo/sortino.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/demo/sortino.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -49,7 +49,7 @@
###############################################################################
# R (http://r-project.org/) Numeric Methods for Optimization of Portfolios
#
-# Copyright (c) 2004-2010 Kris Boudt, Peter Carl and Brian G. Peterson
+# Copyright (c) 2004-2014 Kris Boudt, Peter Carl and Brian G. Peterson
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
Deleted: pkg/PortfolioAnalytics/man/constraint_ROI.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/constraint_ROI.Rd 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/man/constraint_ROI.Rd 2015-01-07 13:12:49 UTC (rev 3581)
@@ -1,24 +0,0 @@
-% Generated by roxygen2 (4.0.1): do not edit by hand
-\name{constraint_ROI}
-\alias{constraint_ROI}
-\title{constructor for class constraint_ROI}
-\usage{
-constraint_ROI(assets = NULL, op.problem, solver = c("glpk", "quadprog"),
- weight_seq = NULL)
-}
-\arguments{
-\item{assets}{number of assets, or optionally a named vector of assets specifying seed weights}
-
-\item{op.problem}{an object of type "OP" (optimization problem, of \code{ROI}) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.}
-
-\item{solver}{string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for \code{glpk} and \code{quadprog}.}
-
-\item{weight_seq}{seed sequence of weights, see \code{\link{generatesequence}}}
-}
-\description{
-constructor for class constraint_ROI
-}
-\author{
-Hezky Varon
-}
-
Modified: pkg/PortfolioAnalytics/sandbox/script.UW2012.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/script.UW2012.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/sandbox/script.UW2012.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -557,12 +557,9 @@
for(result in names(results)[grep('.t',names(results),fixed=TRUE)]){
print(result)
x=get('results')[[result]]
- x.obj=rbind(x.obj, data.frame(mean=x$"2012-02-29"$objective_measures[[1]],pasd=x$"2012-02-29"$objective_measures[[2]],CVaR=as.numeric(x$"2012-02-29"$objective_measures[[3]][1])))
-
- print(x.obj)
-
- #RND.objectives = rbind(RND.objectives,x.obj)
+ x.obj=rbind(x.obj, data.frame(mean=x[[evalDate]]$objective_measures[[1]],pasd=x[[evalDate]]$objective_measures[[2]],CVaR=as.numeric(x[[evalDate]]$objective_measures[[3]][1])))
}
+print(x.obj)
rownames(x.obj)=names(results)[grep('.t',names(results),fixed=TRUE)] # @TODO: add prettier labels
Modified: pkg/PortfolioAnalytics/sandbox/script.buildEDHEC.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/script.buildEDHEC.R 2015-01-07 13:04:56 UTC (rev 3580)
+++ pkg/PortfolioAnalytics/sandbox/script.buildEDHEC.R 2015-01-07 13:12:49 UTC (rev 3581)
@@ -10,7 +10,8 @@
# Download the following file to the working directory:
# http://www.edhec-risk.com/indexes/pure_style/data/table/history.csv
### @TODO: Is there a way to download it directly? Maybe not, seems to require a login
-x=read.csv(file="history.csv", sep=";", header=TRUE, check.names=FALSE)
+x<-read.csv(file=download.file("http://www.edhec-risk.com/indexes/pure_style/data/table/history.csv"), sep=";", header=TRUE, check.names=FALSE)
+#x=read.csv(file="history.csv", sep=";", header=TRUE, check.names=FALSE)
x.dates = as.Date(x[,1], format="%d/%m/%Y")
x.data = apply(x[,-1], MARGIN=2, FUN=function(x){as.numeric(sub("%","", x, fixed=TRUE))/100}) # get rid of percentage signs
edhec = xts(x.data, order.by=x.dates)
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