Hi Ravi, To give you some background:
The function compute_strategy_before_fees returns portfolio returns and standard deviation. Our optimal portfolio will maximise the returns whilst keeping the standard deviation at a certain level. We have an input matrix C that the function uses to calculate the asset weights in the portfolio over time. Problem is that I am a complete R novice and would not know where to start in optimising this in R. Could you please give some guidance on using the R functions? Thanks, Eduard -----Original Message----- From: Ravi Varadhan [mailto:rvarad...@jhmi.edu] Sent: 05 February 2009 19:37 To: Eduard Pieterse (Macquarie Securities) Cc: r-help@r-project.org Subject: Re: [R] Non-linear optimisation Hi, I don't understand your Matlab code. However, let me say this: - you could use "L-BFGS-B" algorithm in optim() or nlminb(), if you only have box constraints - you could use ConstrOptim(), if you only have linear inequality constraints - you could use Rdonlp2 if you have more general equality/inequality constraints Best, Ravi. ____________________________________________________________________ Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu ----- Original Message ----- From: ehxpieterse <eduard.piete...@macquarie.com> Date: Thursday, February 5, 2009 2:03 pm Subject: [R] Non-linear optimisation To: r-help@r-project.org > Hi there, > > I have a piece of Matlab code I use to optimise a trding strategy. If > there are any Matlab/R specialists out there, I would appreciate your > help in doing the exact same optimisation in R. > > I suspect I would use nlm() in R but am not sure where to define my > constraints. > > I have attached my Matlab code below for reference. > > Many thanks. > > Constraints > function [c,ceq]=TriskellConstraints(X) global objFunc_vol; [a,b] = > objFunc_vol(X); > c(1) = b-6.5; > c(2) = std(X(:))-6.5; > ceq = []; > end > > Optimise > global objFunc_vol > objFunc_vol = @(C) compute_strategy_before_fees(prices, C, floor, > cap, m_ret_reb, prices_TR, hedge_fund, vg, euribor, last_reb_date, > Maturity, fixed_fees, var_fees); > > objFunc_vol(C); > > objFunc = @(C) compute_strategy_before_fees(prices, C, floor, cap, > m_ret_reb, prices_TR, hedge_fund, vg, euribor, last_reb_date, > Maturity, fixed_fees, var_fees); > > objFunc(C); > > options = optimset('MaxIter',10000000,'MaxFunEvals',10000000); > > tic; > > % OPTIMISE > > %M = > > fmincon(objFunc,C,[],[],[],[],repmat(-20,12,9),repmat(20,12,9),@Triske > llConstraints,options); > M = > > fmincon(objFunc_vol,C,[],[],[],[],repmat(-20,12,9),repmat(20,12,9),@Tr > iskellConstraints,options); [Z, ZZ] = > compute_strategy_after_fees(prices, C, floor, cap, m_ret_reb, > prices_TR, Hedge_Fund, vg, euribor, last_reb_date, Maturity, > fixed_fees, var_fees, dates, variation_cap_property, eurusd); [Y, > YY] = compute_strategy_after_fees(prices, M, floor, cap, m_ret_reb, > prices_TR, Hedge_Fund, vg, euribor, last_reb_date, Maturity, > fixed_fees, var_fees, dates, variation_cap_property, eurusd); > > timespent = toc/60; %converts to minutes > > > -- > View this message in context: > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > > PLEASE do read the posting guide > and provide commented, minimal, self-contained, reproducible code. If there is any advice in this email, it is general advice only and has been prepared by Macquarie Group or one of its related entities (“Macquarie”). Macquarie has made every reasonable effort to ensure the information provided is correct, but Macquarie makes no representation nor any warranty as to whether the information is accurate, complete or up to date. To the extent permitted by law, Macquarie accepts no responsibility for any errors or misstatements, negligent or otherwise. The information provided may be based on assumptions or market conditions and may change without notice. Macquarie, its associates, officers or employees may also have interests in the financial products referred to in this information by acting in various roles. They may buy or sell the financial products as principal or agent and as such may effect transactions which are not consistent with any recommendations (if any in this information). Macquarie or its associates may also receive fees or brokerage for acting in the above capacities. The information in this email is confidential. If you ar...{{dropped:9}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
