[R-SIG-Finance] What's the best package for SOCP in R?
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Thu Jul 9 18:03:00 CEST 2015
Dear Ilya & Alexios,
given that the Alexios played the ball into my court, please find below a toy example to your problem:
(the parma package is loaded for the data set)
library(parma)
library(cccp)
data("etfdata")
R = etfdata/lag(etfdata)-1
R = na.omit(R * 100)
N <- ncol(R)
S = cov(coredata(R))
Se <- eigen(S)
Sr <- Se$vectors %*% diag(sqrt(Se$values)) %*% t(Se$vectors)
all.equal(Sr %*% Sr, S, check.attributes = FALSE)
mu <- colMeans(R)
q <- -mu
## Formulating constraints
## Non-negativity & SOC
nvec <- rep(0, N)
nno1 <- nnoc(G = -diag(N), h = nvec)
soc1 <- socc(F = Sr, g = nvec, d = nvec, f = 1.5)
## Budget constraint
A <- matrix(rep(1, N), nrow = 1, ncol = N)
b <- matrix(1, nrow = 1, ncol = 1)
## Solving problem
Popt <- cccp(q = q, A = A, b = b,
cList = list(nno1, soc1))
w <- getx(Popt)
## checking
all(w > 0)
all.equal(sum(w), 1.0)
(retmax <- -getstate(Popt)["pobj"])
(sdrisk <- drop(sqrt(crossprod(w, S) %*% w)))
Best wishes,
Bernhard
-----Ursprüngliche Nachricht-----
Von: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von alexios
Gesendet: Donnerstag, 9. Juli 2015 15:17
An: Ilya Kipnis; r-sig-finance at r-project.org
Betreff: Re: [R-SIG-Finance] What's the best package for SOCP in R?
Ilya, Bernhard's cccp package should be the definitive socp package in R now.
cran.r-project.org/package=cccp
-Alexios
On 08/07/2015 18:37, Ilya Kipnis wrote:
> I was reading the following paper from Adam Butler:
>
> http://www.bpgassociates.com/docs/Adaptive-Asset-Allocation-A-Primer.p
> df
>
> I saw the example on page 26, namely one with an 8% annualized volatility target.
>
> I was wondering if there's a go-to package among the R/Finance community to solve problems of the type:
>
> max w'r
> s.t.
> w'Sw = target
> 0 <= w_i <= 1 for all i
> Sum(i=1...n)w_i = 1
>
> I know that quadprog solves problems of the form of min -w'r +
> lambda*w'Sw s.t.
> 0 <= w_i <= 1 for all i
> Sum(i=1...n)w_i = 1
>
> I was wondering if there was a go-to package for SOCP so that I could solve the first type of problem without needing to call a global optimizer.
>
> Thanks a lot.
>
> -Ilya
>
> [[alternative HTML version deleted]]
>
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