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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR Description. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# solveRquadprog Portfolio interface to solver Rquadprog
# .rquadprogArguments Returns arguments for solver
# .rquadprog Wrapper to solver function
################################################################################
solveRquadprog <-
function(data, spec, constraints)
{
# A function implemented by Diethelm Wuertz
# Description:
# Portfolio interface to solver Rquadprog
# FUNCTION:
# Transform Data:
Data <- portfolioData(data, spec)
data <- getSeries(Data)
nAssets <- getNAssets(Data)
# Compile Arguments for Solver:
args <- .rquadprogArguments(Data, spec, constraints)
# Solve Multiassets Portfolio:
ans <- .rquadprog(
Dmat = args$Dmat,
dvec = args$dvec,
Amat = args$Amat,
bvec = args$bvec,
meq = args$meq)
# Save Arguments:
ans$optim$args <- args
# class:
class(ans) = c("solver", "list")
# Return Value:
ans
}
################################################################################
.rquadprogArguments <-
function(data, spec, constraints)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns quadprog conform arguments for the solver
# FUNCTION:
# Data and Constraints as S4 Objects:
Data <- portfolioData(data, spec)
data <- getSeries(Data)
Sigma <- getSigma(Data)
nAssets <- getNAssets(Data)
# Set up A_mat of Constraints:
eqsumW <- eqsumWConstraints(Data, spec, constraints)
minsumW <- minsumWConstraints(Data, spec, constraints)
maxsumW <- maxsumWConstraints(Data, spec, constraints)
Amat = rbind(eqsumW[, -1], diag(nAssets), -diag(nAssets))
if(!is.null(minsumW)) Amat = rbind(Amat, minsumW[, -1])
if(!is.null(maxsumW)) Amat = rbind(Amat, -maxsumW[, -1])
# Set up Vector A_mat >= bvec of Constraints:
minW <- minWConstraints(Data, spec, constraints)
maxW <- maxWConstraints(Data, spec, constraints)
bvec <- c(eqsumW[, 1], minW, -maxW)
if(!is.null(minsumW)) bvec = c(bvec, minsumW[, 1])
if(!is.null(maxsumW)) bvec = c(bvec, -maxsumW[, 1])
# Part (meq=1) or Full (meq=2) Investment, the Default ?
meq <- nrow(eqsumW)
# Directions:
dir <- c(
rep("==", times = meq),
rep(">=", times = length(bvec) - meq))
# Return Value:
list(
Dmat = Sigma,
dvec = rep(0, nAssets),
Amat = t(Amat),
bvec = bvec,
meq = meq,
dir = dir)
}
################################################################################
.rquadprog <-
function(Dmat, dvec, Amat, bvec, meq)
{
# A function implemented by Diethelm Wuertz
# Description:
# Goldfarb and Idnani's quadprog solver function
# Note:
# Requires to load contributed R package quadprog from which we use
# the Fortran subroutine of the quadratic solver.
# Package: quadprog
# Title: Functions to solve Quadratic Programming Problems.
# Author: S original by Berwin A. Turlach <berwin.turlach@anu.edu.au>
# R port by Andreas Weingessel <Andreas.Weingessel@ci.tuwien.ac.at>
# Maintainer: Andreas Weingessel <Andreas.Weingessel@ci.tuwien.ac.at>
# Description: This package contains routines and documentation for
# solving quadratic programming problems.
# License: GPL-2
# Value of slove.QP():
# solution - vector containing the solution of the quadratic
# programming problem.
# value - scalar, the value of the quadratic function at the
# solution
# unconstrained.solution - vector containing the unconstrained
# minimizer of the quadratic function.
# iterations - vector of length 2, the first component contains
# the number of iterations the algorithm needed, the second
# indicates how often constraints became inactive after
# becoming active first. vector with the indices of the
# active constraints at the solution.
# FUNCTION:
# Optimize:
optim <- try(quadprog::solve.QP(Dmat, dvec, Amat, bvec, meq), silent = TRUE)
if (inherits(optim, "try-error")) {
weights <- rep(0, length(dvec))
optim <- list()
status <- 1
} else {
# Set Tiny Weights to Zero:
weights <- .checkWeights(optim$solution)
attr(weights, "invest") = sum(weights)
status <- 0
}
# Compose Output List:
ans <- list(
type = "MV",
solver = "solveRquadprog",
optim = optim,
weights = weights,
targetReturn = bvec[1],
targetRisk = sqrt(weights %*% Dmat %*% weights)[[1, 1]],
objective = sqrt(weights %*% Dmat %*% weights)[[1, 1]],
status = status,
message = NA)
# Return Value:
ans
}
################################################################################
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