muS.10ex: 10 Assets Example Data from Markowitz & Todd

In CLA: Critical Line Algorithm in Pure R

10 Assets Example Data from Markowitz & Todd

Description

The simple example Data of Markowitz and Todd (2000); used for illustrating the CLA; reused in Bailey and López de Prado (2013).

Usage

data("muS.10ex")

Format

A list with two components,

mu

Named num [1:10] 1.175 1.19 0.396 1.12 0.346 ...
names : chr [1:10] "X1" "X2" "X3" "X4" ...

covar

num [1:10, 1:10] 0.4076 0.0318 0.0518 0.0566 0.033 ...

Source

From ‘http://www.quantresearch.info/CLA_Data.csv.txt’ (URL no longer working, Aug.2020!) by López de Prado.

References

Markowitz, H. M. (1987, 1st ed.) and Markowitz, H. M. and Todd, P. G. (2000) Mean-Variance Analysis in Portfolio Choice and Capital Markets, page 335.

Bailey, D. H. and López de Prado, M. (2013) An open-source implementation of the critical-line algorithm for portfolio optimization, Algorithms 6(1), 169–196; \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3390/a6010169")}, p. 16f.

Examples

data(muS.10ex)
str(muS.10ex)

CLA.10ex <- with(muS.10ex, CLA(mu, covar, lB=0, uB=1))
if(require("Matrix"))
  drop0(zapsmall(CLA.10ex$weights_set))
## The results, summarized, as in Bayley and López de Prado (Table 2, p.18) :
with(CLA.10ex, round(cbind(MS_weights[,2:1], lambda=lambdas, t(weights_set)), 3))

CLA.10ex.1c <- with(muS.10ex, CLA(mu, covar, lB=1/100, uB=1))
round(CLA.10ex.1c$weights_set, 3)

CLA documentation built on Sept. 11, 2024, 9:25 p.m.