Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

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 calcul

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

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

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

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 PerformanceAna

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

Thanks Brian, I will avoid HTML format next time. Best regards, Marco On Wed, Oct 12, 2016 at 12:21 PM, Brian G. Peterson 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, > > Br

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

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.

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

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]

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

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-g