[R] Help for bootstrapping‏

[Mui Boon Loong]

As attached is the txt file for the code. 
Regards,BL

> Date: Thu, 4 Apr 2013 03:19:47 -0800
> From: jrkrideau at inbox.com
> Subject: RE: [R] Help for bootstrapping‏
> To: boon_loong at hotmail.com; r-help at r-project.org
> 
> It looks like you formatted the code in html and it is essentially impossible to read.  Can you resend in plain text? 
> 
> Thanks
> 
> John Kane
> Kingston ON Canada
> 
> 
> > -----Original Message-----
> > From: boon_loong at hotmail.com
> > Sent: Thu, 4 Apr 2013 15:14:05 +0800
> > To: r-help at r-project.org
> > Subject: [R] Help for bootstrapping‏
> > 
> > I have a set of data for US t-bill returns and US stock returns frm
> > 1980-2012. I am trying to bootstrap the data and obtain the minimum
> > variance portfolio and repeat this portfolio 1000 times. However I am
> > unable to get the correct code function for the minimum variance
> > portfolio. When I tried to enter Opt(OriData+1, 1, 5, 0), I get
> > "error:subscript out of bounds" Please help!
> > library("quadprog")
> > ##############################Preparing for datarawdata =
> > read.table("C:/Desktop/data.txt", header=T)Rf = rawdata[,1]US =
> > rawdata[,2]data = data.frame(Rf,US)OriData = as.matrix(data)
> > ##############################the GetBSData
> > functionGetBSData<-function(data){x = 1:396s =
> > sample(x,6,replace=T)bsdata = data[(s[1]):(s[1]+59),]	for (j in 2:6) {
> > a = data[(s[j]):(s[j]+59),]  		bsdata = rbind(bsdata,a)	}return(bsdata)}
> > #set.seed(1234)#trial<-GetBSData(OriData)
> > ##############################the Minimisation
> > functionOpt<-function(data, horizon, col,
> > lamda){TbillReturn<-numeric(30/horizon)USReturn<-numeric(30/horizon)for
> > (x in 1: (30/horizon)){
> TbillReturn[x]<-prod(data[(12*horizon*(x-1)+1):(12*horizon*(x-1)+12*horizon),col])-1
> USReturn[x]<-prod(data[(12*horizon*(x-1)+1):(12*horizon*(x-1)+12*horizon),2])-1}Return<-cbind(TbillReturn,USReturn)MeanVec<-c(mean(TbillReturn),mean(USReturn))VCovMat<-cov(Return)#return(MeanVec,
> > VCovMat)
> > a<-c(1,1)a<-cbind(a, diag(1,2))
> > WtVec<-solve.QP(Dmat=VCovMat*2, dvec=
> > MeanVec*lamda,Amat=a,bvec=c(1,0,0),meq=1)
> > #return(MeanVec, VCovMat, WtVec$solution)return(WtVec$solution)}
> > #Opt(OriData+1, 1, 5, 0)
> > ##############################set.seed(4114)bs=1000						###number of
> > bootstrap samplesRegion<-5						###Region indecies, check
> > above.lamdaseq<-seq(0,1,.05)				###the lamda sequence. currently from 0
> > to 1 by .05.
> > x<-numeric(bs*length(lamdaseq))		###w1<-matrix(x, bs, length(lamdaseq))
> > ###To initialise the matrices.w5<-matrix(x, bs, length(lamdaseq))		###1,
> > 5, 10 denote the horizon.w10<-matrix(x, bs, length(lamdaseq))	###
> > for (i in 1: bs){BSData<-GetBSData(OriData)+1j=1	for (lamda in lamdaseq){
> > w1[i,j]<-Opt(BSData, 1, Region, lamda)[1]		w5[i,j]<-Opt(BSData, 5,
> > Region, lamda)[1]		w10[i,j]<-Opt(BSData, 10, Region, lamda)[1]		j=j+1	}
> > x<-numeric(length(lamdaseq)*9)		###To initialise the
> > tabletable<-matrix(x, length(lamdaseq), 9)	###
> > for (k in 1:length(lamdaseq)){		#k:index for lamda
> > table[k,1]<-sort(w1[,k])[.05*bs]		###The first 3 cols are for 1-yr
> > horizon.table[k,2]<-mean(w1[,k])			###From left to right: 5
> > percentile,table[k,3]<-sort(w1[,k])[.95*bs]		###mean, and 95 percentile.
> > table[k,4]<-sort(w5[,k])[.05*bs]		###table[k,5]<-mean(w5[,k])			###Col
> > 4-6 are for 5-yr horizon.table[k,6]<-sort(w5[,k])[.95*bs]		###
> > table[k,7]<-sort(w10[,k])[.05*bs]		###table[k,8]<-mean(w10[,k])			###Col
> > 7-9 are for 5-yr horizon.table[k,9]<-sort(w10[,k])[.95*bs]		###}}
> > table
> > TenMinusOne<-numeric(length(lamdaseq))FiveMinusOne<-numeric(length(lamdaseq))TenMinusFive<-numeric(length(lamdaseq))
> > for (p in
> > 1:length(lamdaseq)){DiffVec<-w10[,p]-w1[,p]TenMinusOne[p]<-length(DiffVec[DiffVec>0])
> > DiffVec<-w5[,p]-w1[,p]FiveMinusOne[p]<-length(DiffVec[DiffVec>0])
> > DiffVec<-w10[,p]-w5[,p]TenMinusFive[p]<-length(DiffVec[DiffVec>0])}
> > diff<-cbind(FiveMinusOne,TenMinusOne)diff<-cbind(diff,
> > TenMinusFive)sn<-seq(1, length(lamdaseq))f2<-cbind(sn, diff)f2
> > ##############################################END
> > 	[[alternative HTML version deleted]]
> > 
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