ChangeLog Package fPortfolio 2023-04-22 theussl * Removed donlp2 solver and the bestDiversification() function (for the time being). * Integrated the Rnlminb2 solver directly into fPortfolio * Changed socp solver to the one in parma package. It is (almost) the same code but the package is hosted on CRAN hence facilitates R CMD check on CRAN. 2015-05-13 wuertz * New function pfolioCVaRoptim added. Computes CVaR along mean-CVaR optimization approach. 2014-09-30 tsetz * Final version compatible to books and other packages. 2014-09-22 tsetz * ChangeLog, DESCRIPTION: Updated ChangeLog and DESCRIPTION files after submission to CRAN. 2014-03-26 wuertz * fPortfolioBacktest Package functions from r-forge embedded 2011-02-10 chalabi * DESCRIPTION: updated DESC file * inst/doc/PortfolioOptimizationSample.pdf: removed pdf file because new version can be found on the website 2011-02-01 chalabi * R/efficientPortfolio.R, inst/unitTests/runit.minriskPortfolio.R: Modified returned value of targetRiskFun when the target return is not feasible with the given constraints. 2010-10-26 chalabi * NAMESPACE: updated NAMESPACE 2010-07-23 chalabi * inst/DocCopying.pdf: removed DocCopying.pdf license is already specified in DESCRIPTION file * DESCRIPTION: moved Rglp and quadprog in Imports DESCR file 2010-04-22 chalabi * DESCRIPTION: updated DESC file * inst/CITATION: updated CITATION file 2010-04-16 chalabi * ChangeLog, DESCRIPTION: DESC and Changelog * R/solveRquadprog.R: set weights to NA when there is no solution 2010-04-13 chalabi * R/solveRquadprog.R: updated for latest version of quadprog 2010-04-12 chalabi * CITATION, DESCRIPTION, inst/CITATION: updated CITATION file * R/solveRquadprog.R: Using solve.QP rather than calling directly Fortran routine in quadprog pkg. 2009-09-30 chalabi * inst/doc, inst/doc/PortfolioOptimizationSample.pdf: added pdf files in inst/doc * DESCRIPTION: updated version number + link to ebooks 2009-09-28 chalabi * DESCRIPTION: updated version number * ChangeLog, DESCRIPTION: updated DESCR and ChangeLog 2009-09-24 stefan7th * R/efficientPortfolio.R: committed all minor local changes * NAMESPACE: new NAMESPACE structure which should ease maintenance of packages. 2009-06-25 chalabi * DESCRIPTION, NAMESPACE: Merge branch 'devel-timeSeries' Conflicts: pkg/timeSeries/R/base-Extract.R pkg/timeSeries/R/timeSeries.R 2009-05-26 wuertz * inst/PortfolioOptimizationSample.pdf: 2009-05-08 chalabi * DESCRIPTION, NAMESPACE, R/builtin-Rglpk.R, R/covEstimator.R, R/solveRglpk.R, R/zzz.R, src: reverted Rglpk C files * man/frontierPlot.Rd, man/getPortfolio.Rd, man/getSpec.Rd, man/getVal.Rd: updated manual pages 2009-05-07 wuertz * R/solveRquadprog.R: printing of warning removed, we have to find for this a practicle solution ... 2009-05-06 wuertz * R/solveRquadprog.R: prints now warning when solver Rquadprog does not end with status 0, but still continues operations ... * R/frontierPlot.R: new argument added return = c("mean", "mu") to function tailoredFrontierPlot(), not checked for the ebook. * CITATION: CITATION file added, eBook Portfilio Optimization * R/frontierPlot.R: bug fixed in plot routines, only happened when risk free rate was > 0 2009-04-29 wuertz * R/covEstimator.R: rmt estimator added * NAMESPACE: NAMESPACE all functions exported * DESCRIPTION: DESSCRIPTION modified * R/builtin-Rglpk.R, R/solveRglpk.R, R/solveRsymphony.R, R/zzz.R: Rglpk builtin added * man/solveRsymphony.Rd: symphony deleted * src, src/Rglpk.h, src/Rglpk_initialize.c, src/Rglpk_read_file.c, src/Rglpk_solve.c, src/glpapi.h, src/glpapi01.c, src/glpapi02.c, src/glpapi03.c, src/glpapi04.c, src/glpapi05.c, src/glpapi06.c, src/glpapi07.c, src/glpapi08.c, src/glpapi09.c, src/glpapi10.c, src/glpapi11.c, src/glpapi12.c, src/glpapi13.c, src/glpapi14.c, src/glpapi15.c, src/glpapi16.c, src/glpapi17.c, src/glpapi18.c, src/glpapi19.c, src/glpapi20.c, src/glpapi21.c, src/glpavl.c, src/glpavl.h, src/glpbfd.c, src/glpbfd.h, src/glpbfx.c, src/glpbfx.h, src/glpcpx.c, src/glpcpx.h, src/glpdmp.c, src/glpdmp.h, src/glpdmx.c, src/glpfhv.c, src/glpfhv.h, src/glpgmp.c, src/glpgmp.h, src/glphbm.c, src/glphbm.h, src/glpini.h, src/glpini01.c, src/glpini02.c, src/glpios.h, src/glpios01.c, src/glpios02.c, src/glpios03.c, src/glpios04.c, src/glpios05.c, src/glpios06.c, src/glpios07.c, src/glpios08.c, src/glpios09.c, src/glpios10.c, src/glpipm.c, src/glpipm.h, src/glpipp.h, src/glpipp01.c, src/glpipp02.c, src/glpk.h, src/glplib.h, src/glplib01.c, src/glplib02.c, src/glplib03.c, src/glplib04.c, src/glplib05.c, src/glplib06.c, src/glplib07.c, src/glplib08.c, src/glplib09.c, src/glplib10.c, src/glplib11.c, src/glplib12.c, src/glplpf.c, src/glplpf.h, src/glplpp.h, src/glplpp01.c, src/glplpp02.c, src/glplpx01.c, src/glplpx02.c, src/glplpx03.c, src/glplpx04.c, src/glplpx05.c, src/glpluf.c, src/glpluf.h, src/glplux.c, src/glplux.h, src/glpmat.c, src/glpmat.h, src/glpmpl.h, src/glpmpl01.c, src/glpmpl02.c, src/glpmpl03.c, src/glpmpl04.c, src/glpmpl05.c, src/glpmpl06.c, src/glpmps.h, src/glpmps01.c, src/glpmps02.c, src/glpnet.h, src/glpnet01.c, src/glpnet02.c, src/glpnet03.c, src/glpnet04.c, src/glpnet05.c, src/glpnet06.c, src/glpnet07.c, src/glpqmd.c, src/glpqmd.h, src/glprgr.c, src/glprgr.h, src/glprng.h, src/glprng01.c, src/glprng02.c, src/glpscf.c, src/glpscf.h, src/glpscg.c, src/glpscg.h, src/glpscl.c, src/glpscl.h, src/glpsds.c, src/glpspm.c, src/glpspm.h, src/glpspx.h, src/glpspx01.c, src/glpspx02.c, src/glpsql.c, src/glpsql.h, src/glpssx.h, src/glpssx01.c, src/glpssx02.c, src/glpstd.h, src/glptsp.c, src/glptsp.h: Rglpk C files * R/solveRglpk.R, R/solveRquadprog.R, R/solveRshortExact.R, R/solveRsymphony.R: small solver updates * R/covEstimator.R: more cov estimators added, student, bagged, bayesStein and ledoitWolf, currently for internal use only 2009-04-19 chalabi * DESCRIPTION: added explicit version number in Depends field for key packages 2009-04-17 wuertz * R/solveRglpk.R: Problems with Rglpk solver now solved. * R/portfolioSpec.R: New internal function .checkSpec() introduced. Stops execution when we have specified a linear solver forgot that we have still a quadratic programming problem. Not yet all cases to be checked are already implemented. * R/methods-show.R: A bug introduced when printing option introduced for n (=5) lines, has been removed. * R/efficientPortfolio.R: The compution of the portfolio now stops and returns an error if the minrisk and/or maxratio portfolios do not exist. 2009-04-04 chalabi * NAMESPACE, R/covEstimator.R, R/efficientPortfolio.R, R/feasiblePortfolio.R, R/portfolioConstraints.R, R/portfolioData.R, R/portfolioFrontier.R, R/portfolioRisk.R, R/solveRglpk.R, R/solveRquadprog.R, R/solveRshortExact.R, R/solveRsymphony.R, R/solveTwoAssets.R: improved speed of some key functions 2009-04-03 chalabi * R/methods-show.R, R/zzz.R: added 'length.print' in Rmetrics global envir. It is used in show method. 2009-04-03 wuertz * R/methods-show.R: prepared for subset printing 2009-04-02 chalabi * DESCRIPTION: more explicit depends and suggests field in DESC file. * DESCRIPTION: updated DESC file 2009-03-31 chalabi * DESCRIPTION: update R version to 2.7.0 in DESC file because Rglpk depends (>= 2.7.0) 2009-03-13 chalabi * R/getDefault.R: removed already present method getModel 2009-02-10 wuertz * R/getPortfolioVal.R: getPortfolioVal committed * man/dataSets.Rd: empty \details removed * man/00fPortfolio-package.Rd, man/class-fPFOLIOCON.Rd, man/class-fPFOLIOSPEC.Rd, man/class-fPFOLIOVAL.Rd, man/covEstimator.Rd, man/dataSets.Rd, man/efficientPortfolio.Rd, man/feasiblePortfolio.Rd, man/frontierPlot.Rd, man/frontierPoints.Rd, man/getData.Rd, man/getDefault.Rd, man/getPortfolio.Rd, man/getSpec.Rd, man/portfolioConstraints.Rd, man/portfolioFrontier.Rd, man/portfolioRisk.Rd, man/portfolioSpec.Rd, man/weightsLinePlot.Rd, man/weightsPie.Rd, man/weightsPlot.Rd: man pages improved 2009-02-09 wuertz * R/getPortfolio.R, inst/unitTests/runit.weightsPie.R, man/getDefault.Rd, man/setSpec.Rd, man/solveRglpk.Rd, man/solveRquadprog.Rd, man/solveRshortExact.Rd, man/solveRsymphony.Rd, man/weightsPlot.Rd, man/weightsSlider.Rd: more docu minor modifications * NAMESPACE, R/efficientPortfolio.R, R/feasiblePortfolio.R, R/frontierPlot.R, R/getData.R, R/getPortfolio.R, R/methods-show.R, R/portfolioConstraints.R, R/portfolioData.R, R/portfolioFrontier.R, R/portfolioRisk.R, R/portfolioSpec.R, R/weightsPie.R, man/00fPortfolio-package.Rd, man/class-fPFOLIOCON.Rd, man/class-fPFOLIODATA.Rd, man/class-fPFOLIOSPEC.Rd, man/class-fPORTFOLIO.Rd, man/covEstimator.Rd, man/efficientPortfolio.Rd, man/feasiblePortfolio.Rd, man/frontierPlot.Rd, man/frontierPlotControl.Rd, man/frontierPoints.Rd, man/getData.Rd, man/getDefault.Rd, man/getPortfolio.Rd, man/getSpec.Rd, man/methods-plot.Rd, man/methods-show.Rd, man/methods-summary.Rd, man/portfolioConstraints.Rd, man/portfolioData.Rd, man/portfolioFrontier.Rd, man/portfolioRisk.Rd, man/portfolioRolling.Rd, man/portfolioSpec.Rd, man/setSpec.Rd, man/solveRglpk.Rd, man/solveRquadprog.Rd, man/solveRshortExact.Rd, man/solveRsymphony.Rd, man/weightsLinePlot.Rd, man/weightsPie.Rd, man/weightsPlot.Rd, man/weightsSlider.Rd: working on help pages, also some script files and code reorganized 2009-02-04 chalabi * R/portfolioConstraints.R: 2009-02-03 chalabi * man/solveRsymphony.Rd: fixed man pages Rsymphony with new Rdparse 2009-02-02 chalabi * DESCRIPTION, NAMESPACE, R/solveRsymphony.R, man/solveRsymphony.Rd: added Rsymphony to fPortfolio 2009-01-30 wuertz * R/class-fPFOLIOVAL.R: new class for portffolio values on the frontier * NAMESPACE, R/class-fPORTFOLIO.R, R/feasiblePortfolio.R, R/frontierPlot.R, R/frontierPoints.R, R/getPortfolio.R, R/methods-show.R, R/portfolioFrontier.R, R/weightsPlot.R, man/weightsPie.Rd: many small but significant changes * R/getPortfolio.R, R/methods-show.R: get / set functions checked, print function for the free risk rate fixed 2009-01-29 wuertz * R/getData.R, R/getDefault.R, R/getPortfolio.R, R/getSpec.R, R/methods-show.R, R/portfolioSpec.R, man/getSpec.Rd, man/portfolioSpec.Rd: not yet implemented set and get functions added 2009-01-28 chalabi * R/frontierPlot.R: changed tailoredFrontierPlot to avoid warnings 2009-01-26 chalabi * data/GCCINDEX.RET.rda, data/GCCINDEX.rda, data/LPP2005.RET.rda, data/LPP2005.rda, data/SMALLCAP.RET.rda, data/SMALLCAP.rda, data/SPISECTOR.RET.rda, data/SPISECTOR.rda, data/SWX.RET.rda, data/SWX.rda: removed user name in documetation slot of timeSeries data 2009-01-26 wuertz * R/class-fPORTFOLIO.R, R/feasiblePortfolio.R, R/frontierPlot.R, R/getPortfolio.R, man/portfolioSpec.Rd: fPORTFOLIO class representation modified for the slots data, spec, and constraints 2009-01-25 wuertz * R/methods-show.R: * R/methods-show.R: print function extended to non-linear constraints * R/methods-show.R, R/portfolioData.R: rownames colnames added * R/methods-show.R: names added to print function * R/methods-show.R: print function extended 2009-01-24 wuertz * R/methods-show.R, R/portfolioSpec.R: print functions for portfolio spec improved * R/efficientPortfolio.R: Comment added * R/efficientPortfolio.R, man/efficientPortfolio.Rd: example modified 2009-01-23 wuertz * R/setSpec.R: some checks added * R/portfolioConstraints.R: missing target return specified to NA * R/methods-show.R: rownames added to print method 2009-01-20 chalabi * data/GCCINDEX.RET.rda, data/GCCINDEX.rda, data/LPP2005.RET.rda, data/LPP2005.rda, data/SMALLCAP.RET.rda, data/SMALLCAP.rda, data/SPISECTOR.RET.rda, data/SPISECTOR.rda, data/SWX.RET.rda, data/SWX.rda: datasets as they used to be generated in old zzz.R file 2009-01-20 wuertz * data/GCCINDEX.RET.rda, data/GCCINDEX.rda, data/LPP2005.RET.rda, data/SPISECTOR.rda, data/SWX.RET.rda, data/SWX.rda: I put for the moment the data back to fPortfolio, still missing are SPISECTOR.RET and LPP2005. so we have not to build and load every time the whole bundle, when we have a small error in the packages. And the person who uses fPortfolio standalone has also the data. we should build the bundle at the very end identical with the packages in CRAN/R-forge. 2009-01-16 chalabi * data/SMALLCAP.RET.rda: added timeSeries data * NAMESPACE, R/zzz.R, data/GCCINDEX.DF.CSV, data/LPP2005.RET.DF.CSV, data/SMALLCAP.RET.DF.CSV, data/SPISECTOR.DF.CSV, data/SWX.DF.CSV, man/00fPortfolio-package.Rd, man/solveRglpk.Rd, man/solveRquadprog.Rd, man/solveRshortExact.Rd: fixed warning with new Rd parser and changes data set form csv to timeSeries format 2009-01-12 wuertz * R/efficientPortfolio.R: title modified