Nothing
##
## Function for optimising a constrained average draw down portfolio
##
PAveDD <- function(PriceData, AveDD = 0.1, softBudget = FALSE, ...){
if(is.null(dim(PriceData))){
stop("Argument for 'PriceData' must be rectangular.\n")
}
if(any(is.na(PriceData))){
stop("NA-values contained in object for 'PriceData'.\n")
}
if(AveDD <= 0 || AveDD >= 1){
stop("Argument for 'AveDD' must be in the interval (0, 1).\n")
}
call <- match.call()
RC <- as.matrix(returnseries(PriceData, method = "discrete", percentage = FALSE, compound = TRUE))
rownames(RC) <- NULL
N <- ncol(RC)
J <- nrow(RC)
w <- rep(0, N) ## weights
u <- rep(0, J) ## high-watermark
v <- rep(0, J) ## draw downs
x <- c(w, u, v)
## Defining objective (end-wealth)
obj <- c(as.numeric(RC[J, ]), rep(0, J), rep(0, J))
## a1: constraint that weights are positive
a1 <- cbind(diag(N), matrix(0, nrow = N, ncol = 2 * J))
d1 <- rep(">=", N)
b1 <- rep(0, N)
## a2: budget constraint
a2 <- c(rep(1, N), rep(0, 2 * J))
ifelse(softBudget, d2 <- "<=", d2 <- "==")
b2 <- 1
## a3: draw-down constraint (1) assigning summands to v
a3 <- cbind(-1 * RC, diag(J), -1 * diag(J))
d3 <- rep("==", J)
b3 <- rep(0, J)
## a4: defining average constraint
a4 <- c(rep(0, N), rep(0, J), rep(1 / J, J))
d4 <- "<="
b4 <- AveDD
## a5: draw-down constraint (2)
a5 <- cbind(-1 * RC, diag(J), matrix(0, nrow = J, ncol = J))
d5 <- rep(">=", J)
b5 <- rep(0, J)
## a6: draw-down constraint (3)
D1 <- -1.0 * diag(J)
udiag <- embed(1:J, 2)[, c(2, 1)]
D1[udiag] <- 1
a6 <- cbind(matrix(0, ncol = N, nrow = J), D1, matrix(0, ncol = J, nrow = J))
a6 <- a6[-J, ]
d6 <- rep(">=", J-1)
b6 <- rep(0, J-1)
## Combining restrictions
Amat <- rbind(a1, a2, a3, a4, a5, a6)
Dvec <- c(d1, d2, d3, d4, d5, d6)
Bvec <- c(b1, b2, b3, b4, b5, b6)
## Solving LP
opt <- Rglpk_solve_LP(obj = obj, mat = Amat, dir = Dvec, rhs = Bvec,
max = TRUE, ...)
if(opt$status != 0){
warning(paste("GLPK had exit status:", opt$status))
}
## Creating object PortMdd, inherits from PortSol
weights <- opt$solution[1:N]
names(weights) <- colnames(PriceData)
dd <- timeSeries(opt$solution[(N + J + 1):(N + J + J)], charvec = rownames(PriceData))
obj <- new("PortAdd", weights = weights, opt = opt, type = "average draw-down", call = call, AveDD = mean(dd), DrawDown = dd)
return(obj)
}
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