Thanks Michael and Brian for your support, it was very helpful! I have also noted that in the VaR example (my example 1) there is a match with the *constrained_objective *and the VaR function because it seems that, unlike ES function, the VaR function doesn't consider user-defined mu for the calculation of m3 and m4 in the modified method.
Thanks a lot, best regards Marco On Thu, Oct 13, 2016 at 8:01 PM, Brian G. Peterson <br...@braverock.com> wrote: > Yes, agreed. This gets handled correctly, I think in > optimize.portfolio(), but when constrained_objective is called directly, > it looks like set.portfolio.moments doesn't merge arguments from ... or > the arguments=list correctly. > > I think that the 'correct' way to deal with this would probably be to > handle it in dots, and make sure those get merged correctly. I think it > would be much more challenging to process it from the argument=list() > for an individual objective. > > Regards, > > Brian > > -- > Brian G. Peterson > http://braverock.com/brian/ > Ph: 773-459-4973 > IM: bgpbraverock > > > On Thu, 2016-10-13 at 12:54 -0500, Michael Weylandt wrote: > > The issue seems to be in the calculation of the co-skewness and > co-kurtosis. > > > > In particular, when calling ES directly, the user-supplied mu gets > > used to calculate M3 and M4. When called through PortfolioAnalytics, > > M3 and M4 are calculated (without using mu) before calling ES. > > > > A pure PerformanceAnalytics example: > > > > ###### < BEGIN EXAMPLE > ###### > > ## Marco's problem > > library(PerformanceAnalytics) > > data(indexes) > > > > R <- indexes[,1:4] > > > > w <- rep(1/4, 4) > > mu <- rep(0.01, 4) > > > > M2 <- cov(R) > > M3 <- M3.MM(R) > > M4 <- M4.MM(R) > > > > ES(R, portfolio_method="single", weights=w, > > sigma=M2, m3=M3, m4=M4, mu=mu, invert=FALSE) > > > > ES(R, portfolio_method="component", weights=w, mu=mu)$MES > > > > ## Adding mu to the calculation of M3, M4 gives consistent answers > > M2_mu <- cov(R) > > M3_mu <- M3.MM(R, mu=mu) > > M4_mu <- M4.MM(R, mu=mu) > > > > ES(R, portfolio_method="single", weights=w, > > sigma=M2, m3=M3_mu, m4=M4_mu, mu=mu, invert=FALSE) > > > > ES(R, portfolio_method="component", weights=w, mu=mu)$MES > > > > ##### < END EXAMPLE > ###### > > > > It looks like PortfolioAnalytics::set.portfolio.moments does not > > attempt to pass a user supplied mu to PerformanceAnalytics::M3.MM and > > PerformanceAnalytics::M4.MM, even if its given as an argument to > > constrained_objective(): > > > > >From https://github.com/cran/PortfolioAnalytics/blob/ > master/R/moment.functions.R#L327 > > > > switch(method, > > sample = { > > if(is.null(momentargs$mu)) momentargs$mu = matrix( > > as.vector(apply(tmpR, 2, 'mean')), ncol=1); > > if(is.null(momentargs$sigma)) momentargs$sigma = cov(tmpR) > > if(is.null(momentargs$m3)) momentargs$m3 = > > PerformanceAnalytics::M3.MM(tmpR) > > if(is.null(momentargs$m4)) momentargs$m4 = > > PerformanceAnalytics::M4.MM(tmpR) > > }, > > > > [Code for the current development version looks to behave similarly] > > > > > > Hope this helps, > > Michael > > > > > > On Wed, Oct 12, 2016 at 5:21 AM, Brian G. Peterson <br...@braverock.com> > wrote: > > > I attach what I think is a syntactically correct version of the email, > which > > > looks like it was pasted from HTML. > > > > > > We'll try to take a look. > > > > > > Regards, > > > > > > Brian > > > > > > On 10/12/2016 04:34 AM, Marco Mastrangeli wrote: > > >> > > >> Hi Michael, > > >> > > >> thanks for your reply, I apologize for the not full clarity of my > > >> question. > > >> In the following, I try to report a full example. > > >> > > >> #Library > > >> *library(PerformanceAnalytics)* > > >> *library(PortfolioAnalytics)* > > >> > > >> #Returns data present in "PortfolioAnalytics" > > >> *data(indexes)* > > >> *indexes <- indexes[,1:4]* > > >> > > >> #New Portfolio Object > > >> *Wcons <- portfolio.spec(assets=colnames(indexes))* > > >> > > >> #Add box constraints > > >> *Wcons <- add.constraint(portfolio=Wcons, type='box', min=0, max=1)* > > >> > > >> #Add the full investment constraint > > >> *Wcons <- add.constraint(portfolio=Wcons, type="full_investment")* > > >> > > >> #Add Objective specification: VaR with default parameter for vector > "mu" > > >> (EXAMPLE 1) > > >> *VaRObjSpec <- add.objective(portfolio=Wcons, type="risk", name="VaR", > > >> arguments=list(p=0.95), enabled=TRUE)* > > >> > > >> #The value of the objective function is: > > >> *constrained_objective(w=rep(1/4,4), R=indexes, portfolio=VaRObjSpec) > > >> #* VaR > > >> *0.0499467* > > >> > > >> #This is the VaR of the equal-weight portfolio as computed by the > function > > >> VaR in the PerformanceAnalytics package. > > >> *VaRout <- VaR(indexes, weights=rep(1/4,4), p=0.95, > > >> portfolio_method="component")* > > >> *VaRout$MVaR # *[1,]* 0.0499467* > > >> > > >> Now, I repet the VaR example with a user-defined vector for the > parameter > > >> "mu". > > >> > > >> #User-defined vector "mu" > > >> *myMu = rep(0.01, 4)* > > >> > > >> #Add Objective specification: VaR with user-defined parameter for > vector > > >> "mu" > > >> *myVaRObjSpec <- add.objective(portfolio=Wcons, type="risk", > name="VaR", > > >> arguments=list(p=0.95, mu=myMu), enabled=TRUE)* > > >> > > >> #The value of the objective function is: > > >> *constrained_objective(w=rep(1/4,4), R=indexes, > portfolio=myVaRObjSpec) > > >> #* VaR *0.04638622* > > >> > > >> #This is the VaR of the equal-weight portfolio as computed by the > function > > >> VaR in the PerformanceAnalytics package with *mu=myMu.* > > >> *myVaRout <- VaR(indexes, weights=rep(1/4,4), > > >> p=0.95, mu=myMu, portfolio_method="component")* > > >> *myVaRout$MVaR # *[1,]* 0.04638622* > > >> > > >> So, using the default and user-defined parameter for "mu" there is > > >> corrispondence between constrained_objective and the function VaR of > > >> PerformanceAnalytics package. > > >> I repet the example but now adding CVaR as risk objective in Wcons > > >> portfolio. > > >> > > >> #Add Objective specification: CVaR with default parameter for vector > "mu" > > >> (EXAMPLE 2) > > >> *CVaRObjSpec <- add.objective(portfolio=Wcons, type="risk", > name="CVaR", > > >> arguments=list(p=0.95), enabled=TRUE)* > > >> > > >> #The value of the objective function is: > > >> *constrained_objective(w=rep(1/4,4), R=indexes, > portfolio=CVaRObjSpec) > > >> #* ES > > >> *0.1253199* > > >> > > >> #This is the CVaR of the equal-weight portfolio as computed by the > > >> function > > >> ES in the PerformanceAnalytics package. > > >> *CVaRout <- ES(indexes, weights=rep(1/4,4), p=0.95, > > >> portfolio_method="component")* > > >> *CVaRout$MES # *[1,]* 0.1253199* > > >> > > >> Now, I repet the CVaR example with a user-defined vector for the > parameter > > >> "mu". > > >> > > >> #User-defined vector "mu" > > >> *myMu = rep(0.01, 4)* > > >> > > >> #Add Objective specification: CVaR with user-defined parameter for > vector > > >> "mu" > > >> *myCVaRObjSpec <- add.objective(portfolio=Wcons, type="risk", > name="CVaR", > > >> arguments=list(p=0.95, mu=myMu), enabled=TRUE)* > > >> > > >> #The value of the objective function is: > > >> *constrained_objective(w=rep(1/4,4), R=indexes, > portfolio=myCVaRObjSpec) > > >> #* ES *0.1217594* > > >> > > >> #This should be the CVaR of the equal-weight portfolio as computed by > the > > >> function ES in the PerformanceAnalytics package with *mu=myMu.* > > >> *myCVaRout <- ES(indexes, weights=rep(1/4,4), > > >> p=0.95, mu=myMu, portfolio_method="component")* > > >> *myCVaRout$MES # *[1,]* 0.1235878* > > >> > > >> In this case, using the user-defined parameter for "mu" there is no > > >> corrispondence between the value of constrained_objective (0.1217594*) > > >> *and > > >> > > >> the result of function ES of PerformanceAnalytics package > (0.1235878). Why > > >> there is no match in this case? > > >> This not the case for the matrix parameter (for portfolio) "sigma": > if I > > >> use a user-defined sigma matrix, there is always corrispondence > (without, > > >> obviosly, costraints that augment the penalty augmented objective > > >> function) between the value of constrained_objective (with VaR/CVaR > risk > > >> objective) and the result of function VaR/ES of PerformanceAnalytics > > >> package. > > >> > > >> I hope my example is clear enough to illustrate the question. > > >> Thanks a lot for your attention. > > >> Marco > > >> > > >> > > >> On Wed, Oct 12, 2016 at 1:55 AM, Michael Weylandt < > > >> michael.weyla...@gmail.com> wrote: > > >> > > >>> Hi Marco, > > >>> > > >>> Can you put together a minimal reproducible example [1,2] so that > it's > > >>> easier for others to answer your question? > > >>> > > >>> For this problem, I'd recommend using the edhec data distributed with > > >>> PerformanceAnalytics. > > >>> > > >>> Thanks, > > >>> Michael > > >>> > > >>> [1] http://stackoverflow.com/questions/5963269/how-to-make- > > >>> a-great-r-reproducible-example > > >>> [2] http://adv-r.had.co.nz/Reproducibility.html > > >>> > > >>> On Tue, Oct 11, 2016 at 11:46 AM, Marco Mastrangeli > > >>> <marco.mastrang...@gmail.com> wrote: > > >>>> > > >>>> I have a question about the use of the "mu" parameter in the > functions > > >>>> StdDev, VaR e CVaR. > > >>>> As reference data we can use data in the paper "Vignette: Portfolio > > >>>> Optimization with CVaR budgets in PortfolioAnalytics". > > >>>> If we use the default parameters for "mu" and "sigma", there is a > > >>>> match between > > >>>> > > >>>>> constrained_objective( w = rep(1/4,4) , R = indexes, portfolio = > > >>>>> ObjSpec) > > >>>> > > >>>> [,1] > > >>>> ES 0.1253199 > > >>>> > > >>>> and > > >>>> > > >>>>> out<-ES(indexes, weights = rep(1/4,4),p=0.95, > > >>> > > >>> portfolio_method="component") > > >>>>> > > >>>>> out$MES > > >>>> > > >>>> [,1] > > >>>> [1,] 0.1253199 > > >>>> > > >>>> as explained by the authors. > > >>>> If I insert a user-defined sigma matrix for the "sigma" parameter, > the > > >>>> match is still there between this two exspressions. If I insert a > > >>>> user-defined vector for the "mu" parameter (for example > "mu=rep(0.01, > > >>> > > >>> 4)", > > >>>> > > >>>> the result of the two exspressions is the same only for portafolio > with > > >>>> risk objective function StdDev and VaR, not for CVaR. > > >>>> > > >>>> VaR case: > > >>>>> > > >>>>> ObjSpec = add.objective(portfolio=Wcons, type="risk", name="VaR", > > >>>> > > >>>> arguments=list(p=0.95, mu=rep(0.01,4)), enabled=TRUE) > > >>>>> > > >>>>> constrained_objective(w=rep(1/4,4), R=indexes, portfolio=ObjSpec) > > >>>> > > >>>> [,1] > > >>>> VaR 0.04638622 > > >>>> > > >>>>> out<-VaR(indexes, weights=rep(1/4,4), p=0.95, mu=rep(0.01,4), > > >>>> > > >>>> portfolio_method="component") > > >>>>> > > >>>>> out > > >>>> > > >>>> $MVaR > > >>>> [,1] > > >>>> [1,] 0.04638622 > > >>>> > > >>>> > > >>>> CVaR case: > > >>>>> > > >>>>> ObjSpec = add.objective(portfolio=Wcons, type="risk", name="CVaR", > > >>>> > > >>>> arguments=list(p=0.95, mu=rep(0.01,4)), enabled=TRUE) > > >>>>> > > >>>>> constrained_objective(w=rep(1/4,4), R=indexes, portfolio=ObjSpec) > > >>>> > > >>>> [,1] > > >>>> ES 0.1217594 > > >>>> > > >>>>> out<-ES(indexes, weights=rep(1/4,4), p=0.95, mu=rep(0.01,4), > > >>>> > > >>>> portfolio_method="component") > > >>>>> > > >>>>> out > > >>>> > > >>>> $MES > > >>>> [,1] > > >>>> [1,] 0.1235878 > > >>>> > > >>>> I can't find the explanation for this thing. Thanks a lot for your > > >>>> attention. > > >>>> > > >>>> Marco > > >>>> > > >>>> [[alternative HTML version deleted]] > > >>>> > > >>>> _______________________________________________ > > >>>> R-SIG-Finance@r-project.org mailing list > > >>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > >>>> -- Subscriber-posting only. If you want to post, subscribe first. > > >>>> -- Also note that this is not the r-help list where general R > questions > > >>> > > >>> should go. > > >>> > > >> > > >> [[alternative HTML version deleted]] > > >> > > >> _______________________________________________ > > >> R-SIG-Finance@r-project.org mailing list > > >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > >> -- Subscriber-posting only. If you want to post, subscribe first. > > >> -- Also note that this is not the r-help list where general R > questions > > >> should go. > > >> > > > > > > > > > -- > > > Brian G. Peterson > > > http://braverock.com/brian/ > > > Ph: 773-459-4973 > > > IM: bgpbraverock > > > > > > _______________________________________________ > > > R-SIG-Finance@r-project.org mailing list > > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > > -- Subscriber-posting only. If you want to post, subscribe first. > > > -- Also note that this is not the r-help list where general R questions > > > should go. > > > > _______________________________________________ > > R-SIG-Finance@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R questions > should go. > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
