Nothing
context("Portfolios")
test_that("Portfolios", {
T = 100
N = 25
set.seed(123)
rets = matrix(rnorm(T * N), nrow = T, ncol = N)
f.test.pos = function(W) {
out = all(w >= 0)
return(out)
}
f.test.sum = function(w) {
out = abs(sum(w) - 1) < 1e-4
return(out)
}
mu = meanEstimation(rets)
Sigma = covEstimation(rets)
semiDev = semidevEstimation(rets)
LB = rep(0.02, N)
UB = rep(0.95, N)
w = optimalPortfolio(mu = mu, Sigma = Sigma)
expect_equal(length(w), N)
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(gamma = 1))
expect_equal(length(w), N)
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv'))
expect_equal(length(w), N)
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv', constraint = 'none'))
expect_equal(length(w), N)
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv', constraint = 'lo'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv', constraint = 'user', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv', constraint = 'gross'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv', constraint = 'gross', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(mu = mu, Sigma = Sigma,
control = list(type = 'mv', constraint = 'gross', gross.c = 1.2))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'minvol'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'minvol', constraint = 'none'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'minvol', constraint = 'lo'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'minvol', constraint = 'user', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'minvol', constraint = 'gross'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'minvol', constraint = 'gross', gross.c = 1.2))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'invvol'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'erc'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'erc', constraint = 'lo'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'erc', constraint = 'user', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'maxdiv'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'maxdiv', constraint = 'lo'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'maxdiv', constraint = 'user', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma, semiDev = semiDev,
control = list(type = 'riskeff'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma, semiDev = semiDev,
control = list(type = 'riskeff', constraint = 'lo'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma, semiDev = semiDev,
control = list(type = 'riskeff', constraint = 'user', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'maxdec'))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'maxdec', constraint = 'lo'))
expect_equal(length(w), N)
expect_true(f.test.pos(w))
expect_true(f.test.sum(w))
w = optimalPortfolio(Sigma = Sigma,
control = list(type = 'maxdec', constraint = 'user', LB = LB, UB = UB))
expect_equal(length(w), N)
expect_true(f.test.sum(w))
})
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