README.md

In antshi/auxPort: Auxiliary functions for portfolio optimization

auxPort

The package auxPort provides various functions necessary fo cleaning stock data, optimizing portfolios, and evaluating their performance.

Installation

You can install this version of the package from Github with:

install.packages("devtools")
library(devtools)
install_github("antshi/auxPort")

Examples

These are basic examples to show you how to use the some of the functionality.

Example 1: Data Cleaning

library(auxPort)

## Warning: replacing previous import 'CVXR::constraints<-' by 'ROI::constraints<-'
## when loading 'auxPort'

## Warning: replacing previous import 'CVXR::objective<-' by 'ROI::objective<-'
## when loading 'auxPort'

## Warning: replacing previous import 'CVXR::constraints' by 'ROI::constraints'
## when loading 'auxPort'

## Warning: replacing previous import 'CVXR::objective' by 'ROI::objective' when
## loading 'auxPort'

dates <-  as.Date(sp500[,1], format="%d.%m.%Y", stringsAsFactors=FALSE)
find_weekends(dates)

## integer(0)

prices <- as.matrix(sp500[,-1])
find_nas(prices, all=FALSE)

## JEFFERSON.PILOT.DEAD...21.04.06 
##                             235

find_nas(prices, all=TRUE)

## integer(0)

Example 2: Portfolio Optimization

returns <- sp500_rets[,-1]
Sigma <- cov(returns)
image(Sigma)

naive <- port_estim_naive(Sigma)
gmv <- port_estim_gmv(Sigma)
gmv_lasso <- port_estim_solver(Sigma, lambda1=0.0001)

matplot(cbind(naive, gmv, gmv_lasso), type="l", col=c("black", "green", "darkgreen"), lty=1, lwd=1, ylab="Weights")
legend("topleft", legend=c("Naive", "GMV", "GMV-lasso"), col=c("black", "green", "darkgreen"), lty=1, lwd=1)

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.