update extract_risk man page and EQS EF

Author: xinran1228

man/extract_risk.Rd

@@ -0,0 +1,54 @@
+############################## 1. EQS example ###################################
+library(PortfolioAnalytics)
+library(PCRA)
+
+# Load Data
+# Select 10 midcap stocks and risk-free rate
+stockItems <- c("Date", "TickerLast", "CapGroupLast", "Return",
+                "MktIndexCRSP", "Ret13WkBill")
+dateRange <- c("1997-01-31", "2001-12-31")
+ret <- selectCRSPandSPGMI(periodicity = "monthly",
+                          dateRange = dateRange, 
+                          stockItems = stockItems, 
+                          factorItems = NULL,
+                          subsetType = "CapGroupLast",
+                          subsetValues = "MidCap",
+                          outputType = "xts")
+k <- 5
+nset <- seq(k,k+45,by = 5)
+midcap10andRF <- ret[,c(nset,69)]
+midcap10 <- midcap10andRF[,1:10]
+riskFree <- mean(midcap10andRF[,11])
+funds <- colnames(midcap10)
+
+# Build long-only EQS portfolio
+pspec = portfolio.spec(assets=funds)
+pspec = add.constraint(pspec,type = "full_investment")
+pspec = add.constraint(pspec, type="long_only")
+pspecEQS = add.objective(portfolio=pspec, type="risk", name="EQS")
+optimize.portfolio(midcap10, pspecEQS, optimize_method = "CVXR")
+
+############################## 2. Efficient Frontier ###################################
+# Test 1: minEQS with large turnover target, small penalty
+pspecEQS.TO2s = add.constraint(pspecEQS, type="turnover", turnover_target = 0.7, turnover_penalty = 1e-10)
+optTO2s = optimize.portfolio(midcap10, pspecEQS.TO2s, optimize_method="CVXR")
+round(optTO2s$weights, 6) # I increased the precision
+optTO2s$opt_values
+
+# Test 2: minEQS with small turnover target, small penalty
+pspecEQS.TO05s = add.constraint(pspecEQS, type="turnover", turnover_target = 0.3, turnover_penalty = 1e-10)
+optTO05s = optimize.portfolio(midcap10, pspecEQS.TO05s, optimize_method="CVXR")
+round(optTO05s$weights, 6)
+optTO05s$opt_values
+
+# Test 3: EQS with turnover Efficient Frontier
+# Compare TO with no TO for EQS portfolio
+# Note: For CSM and EQS efficient frontiers, chart.EfficientFrontier() doesn't work.
+#       You can only use plotFrontiers()
+legend_labels <- c("No TOC", "TOC = 0.7", "TOC = 0.3")
+
+eqs.NTO = meaneqs.efficient.frontier(pspecEQS, midcap10, optimize_method = 'CVXR')
+eqs.TO2s = meaneqs.efficient.frontier(pspecEQS.TO2s, midcap10, optimize_method = 'CVXR')
+eqs.TO05s = meaneqs.efficient.frontier(pspecEQS.TO05s, midcap10, optimize_method = 'CVXR')
+plotFrontiers(midcap10, frontiers=list(eqs.NTO, eqs.TO2s, eqs.TO05s), 
+              legend.labels = legend_labels, risk='EQS')