ChangeLog
Package fPortfolio
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
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