-
Notifications
You must be signed in to change notification settings - Fork 46
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
- Loading branch information
1 parent
6abd6a2
commit cba8651
Showing
1 changed file
with
98 additions
and
0 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,98 @@ | ||
| --- | ||
| title: "README" | ||
| output: github_document | ||
| --- | ||
|
|
||
| This V2.1 version of PortfolioAnalytics is an update to the substantial V2.0 | ||
| version that was released on 2024-07-03. We first describe the V2.0 features, | ||
| then discuss the R demo capability, and finally we describe the additional | ||
| V2.1 features. | ||
|
|
||
| # 2.0 Features | ||
|
|
||
| A major feature of 2.0 is the integration of the CVXR solver R package | ||
| for convex optimization. CVXR supports eleven solver packages, each of | ||
| which supports solvers for one or more of the following optimization | ||
| problems: LP, QP, SOCP, SDP, EXP, MIP. See the Table near the beginning | ||
| of the document "Convex Optimization in R" at https://cvxr.rbind.io/. | ||
| Thus, with PortfolioAnalytics 2.0, users are able to use any one of a | ||
| variety of solvers available in CVXR for their portfolio optimization | ||
| problems. | ||
|
|
||
| A particular use of CVXR in PortfolioAnalytics 2.0 is for computing Minimum | ||
| Coherent Second Moment (MinCSM) portfolios, which are second-order cone | ||
| programming (SOCP) optimization problems. This is quite a new capability | ||
| that is not available in other portfolio optimization software products. | ||
| Details are provided in the Vignette "cvxrPortfolioAnalytics". | ||
|
|
||
| Another important feature of PortfolioAnalytics 2.0, is that it contains | ||
| functionality for computing outliers-robust minimum variance (MV) optimal | ||
| portfolios based on any one of several robust covariance matrix estimators | ||
| that are not much influenced by outliers Details are provided in the Vignette | ||
| "robustCovMatForPA". | ||
|
|
||
| New PortfolioAnalytics Functions: | ||
|
|
||
| 1. meancsm.efficient.frontier (create Mean-CSM efficient frontier) utility function | ||
| 2. meanrisk.efficient.frontier (generate multiple efficient frontiers for portfolios with the same constraint object. | ||
| 3. extract_risk (extract the risk value, e.g., StdDev or ES or CSM, based on the weights of a portfolio) | ||
| 4. chart.EfficientFrontierCompare (Overlay the efficient frontiers of different minRisk portfolio objects on a single plot) | ||
| 5. backtest.plot (based on Peter Carl's code, generate plots of the cumulative returns and/or drawdown for back-testing) | ||
| 6. opt.outputMvo (converts output of `optimize.portfolio` to a list of the portfolio weights, mean, volatility and Sharpe Ratio) | ||
| 7. plotFrontiers (plot frontiers based on the result of `meanvar.efficient.frontier`, `meanetl.efficient.frontier` or `meancsm.efficient.frontier`) | ||
|
|
||
|
|
||
| Enhanced PortfolioAnalytics Functions: | ||
|
|
||
| 1. optimize.portfolio (enhanced with CVXR solvers, CSM objective, customizable arg `momentFUN=` and output `~$moment_values`) | ||
| 2. optimize.portfolio.rebalancing (enhanced with CVXR solvers, CSM objective and customizable arg `momentFUN=`) | ||
| 3. create.EfficientFrontier (enhanced with type `mean-CSM` and `mean-risk`, and customizable arg `momentFUN=`) | ||
|
|
||
|
|
||
| Support S3 Methods for CVXR: | ||
|
|
||
| 1. print.optimize.portfolio.CVXR | ||
| 2. extractStats.optimize.portfolio.CVXR | ||
|
|
||
|
|
||
| Custom Moment Functions for Robust Covariance Matrices: | ||
|
|
||
| 1. custom.covRob.MM | ||
| 2. custom.covRob.Rocke | ||
| 3. custom.covRob.Mcd | ||
| 4. custom.covRob.TSGS | ||
| 5. MycovRobMcd | ||
| 6. MycovRobTSGS | ||
|
|
||
|
|
||
| New Vignettes and their Code Functions in the demo Folder: | ||
|
|
||
| 1. cvxrPortfolioAnalytics: CRAN title = "CVXR for PortfolioAnalytics". | ||
| 2. demo_cvxrPortfolioAnalytics.R | ||
| 3. robustCovMatForPA: CRAN title = "Robust Covariance Matrices for PortfolioAnalytics" | ||
| 4. demo_robustCovMatForPA.R | ||
|
|
||
| # New 2.1 Features | ||
|
|
||
| xxx | ||
|
|
||
| # Bug Reportin | ||
|
|
||
| Please contribute with bug fixes, comments, and testing scripts! | ||
|
|
||
| Please take your data and disguise it when submitting, or use data sets like | ||
| "edhec" like we do in the demos or or like "stocksCRSP" and "factorsSPGMI" in | ||
| the PCRA package or with your constraints and other objectives modified to | ||
| demonstrate your problem on public data. | ||
|
|
||
| Please report any bugs or issues on the PortfolioAnalytics GitHub page at | ||
| https://github.com/braverock/PortfolioAnalytics/issues | ||
|
|
||
| # Acknowledgements | ||
|
|
||
| The bulk of the work in creating PortfolioAnalytics 2.0 was done by Xinran Zhao, | ||
| along with contributions from Yifu Kang, under the support of a 2022 Google | ||
| Summer of Code (GSOC 2022). Xinran and Yifu were mentored in GSOC 2022 by | ||
| Professor Doug Martin and Professor Steve Murray in the Applied Mathematics | ||
| Department at the University of Washington. | ||
|
|