alg_BCRP: Best Constant Rebalanced Portfolio Algorithm (BCRP)

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

computes the best constant rebalanced portfolio, i.e., the constant rebalanced portfolio achieving the highest wealth in hindsight.

Usage

alg_BCRP(returns, method = "rand", ...)

Arguments

returns	Matrix of price relatives, i.e. the ratio of the closing (opening) price today and the day before (use function get_price_relatives to calculate from asset prices).
method	The method used to calculate BCRP. "rand" generates random CRPs to find BCRP. By default the number of random portfolios is "samplings=1000". "approx" limits the set of CRPs to the portfolios of the form b=(b_1, 1-b_1), where b_1 runs from 0 to 1 in steps of length "step=0.05".
...	further arguments (samplings, step) dependend on the "method" argument.

Details

For the "approx" method the calculation may require very much memory dependend on the number of assets and the "step" argument. If an error occurs due to memory problems the "rand" method may work.

Value

Object of class OLP containing

Alg	Name of the Algorithm
Names	vector of asset names in the portfolio
Weights	calculated portfolio weights as a vector
Wealth	wealth achieved by the portfolio as a vector
mu	exponential growth rate
APY	annual percantage yield (252 trading days)
sigma	standard deviation of exponential growth rate
ASTDV	annualized standard deviation (252 trading days)
MDD	maximum draw down (downside risk)
SR	Sharpe ratio
CR	Calmar ratio

see also print.OLP, plot.OLP

Note

The print method for OLP objects prints only a short summary.

References

Ishijima 2001, Numerical Methods for Universal Portfolios http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Ishijima_H.pdf

Examples

# load data
data(NYSE)
# select stocks
returns = cbind(comme=NYSE$comme, kinar=NYSE$kinar)

# compute BCRP
BCRP_rnd = alg_BCRP(returns, method="rand", samplings=1000); BCRP_rnd
BCRP_approx = alg_BCRP(returns, method="approx", step=0.05); BCRP_approx
plot(BCRP_rnd, BCRP_approx)

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.