MaxRsqCS: Solve for G that maximises sample r-square of X*G'*B' with X...

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Solve for G that maximises sample r-square of X*G'*B' with X under constraints A*G<=D and Aeq*G=Deq (A,D, Aeq,Deq conformable matrices),as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.

Usage

  MaxRsqCS(X, B, W, A = NULL, D = NULL, Aeq = NULL, Deq,
    lb = NULL, ub = NULL)

Arguments

X	: [matrix] (T x N)
B	: [matrix] (T x K)
W	: [matrix] (N x N)
A	: [matrix] linear inequality constraints
D	: [matrix]
Aeq	: [matrix] linear equality constraints
Deq	: [matrix]
lb	: [vector] lower bound
ub	: [vector] upper bound

Value

G : [matrix] (N x K)

Note

Initial code by Tai-Ho Wang

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170. Used in "E 123 - Cross-section factors: generalized cross-section industry factors".

See Meucci's script for "MaxRsqCS.m"

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.