Book a Demo!
CoCalc Logo Icon
StoreFeaturesDocsShareSupportNewsAboutPoliciesSign UpSign In
braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/demo/demo_turnover.R
1433 views
1
## ----- turnover --------------------------------------------------------------

2


3
library(PCRA)

4
library(data.table)

5
# Select 10 midcap stocks and risk-free rate

6
stockItems <- c("Date", "TickerLast", "CapGroupLast", "Return",

7
                "MktIndexCRSP", "Ret13WkBill")

8
dateRange <- c("1997-01-31", "2001-12-31")

9
ret <- selectCRSPandSPGMI(periodicity = "monthly",

10
                          dateRange = dateRange, 

11
                          stockItems = stockItems, 

12
                          factorItems = NULL,

13
                          subsetType = "CapGroupLast",

14
                          subsetValues = "MidCap",

15
                          outputType = "xts")

16
dim(ret)

17
# names(ret)[68:69] # 68 is the Market return and 69 is the RiskFree return

18
k <- 5  # The next line is for users to experiment with different stocks

19
nset <- seq(k,k+45,by = 5)

20
length(nset)

21
midcap10andRF <- ret[,c(nset,69)]

22
midcap10 <- midcap10andRF[,1:10]

23
riskFree <- mean(midcap10andRF[,11])

24
print(riskFree)

25
funds <- colnames(midcap10)

26


27
## ----echo=F-------------------------------------------------------------------

28
# obj ES, given weight initial

29
pspec = portfolio.spec(assets=funds)

30
pspec.fi = add.constraint(pspec,type = "full_investment")

31
pspec.lo = add.constraint(pspec.fi, type="long_only")

32
pspec.TO20default = add.constraint(pspec.lo, type="turnover", turnover_target = 0.2, weight_initial = c(1, rep(0, 9)))

33
pspec.TO20default = add.objective(portfolio=pspec.TO20default, type="risk", name="ES")

34
optTO20default = optimize.portfolio(midcap10, pspec.TO20default, optimize_method="CVXR")

35
round(optTO20default$weights, 4)

36
optTO20default$opt_values

37


38
# obj var, default weight initial

39
pspec = portfolio.spec(assets=funds)

40
pspec.fi = add.constraint(pspec,type = "full_investment")

41
pspec.lo = add.constraint(pspec.fi, type="long_only")

42
pspec.TO50default = add.constraint(pspec.lo, type="turnover", turnover_target = 0.5)

43
pspec.TO50default = add.objective(portfolio=pspec.TO50default, type="risk", name="var")

44
optTO50default = optimize.portfolio(midcap10, pspec.TO50default, optimize_method="CVXR")

45
round(optTO50default$weights, 4)

46
optTO50default$opt_values

47


48
# obj CSM, given weight initial

49
pspec = portfolio.spec(assets=funds)

50
pspec.fi = add.constraint(pspec,type = "full_investment")

51
pspec.lo = add.constraint(pspec.fi, type="long_only")

52
pspec.TO10w = add.constraint(pspec.lo, type="turnover", turnover_target = 0.1, weight_initial = optTO50default$weights)

53
pspec.TO10w = add.objective(portfolio=pspec.TO10w , type="risk", name="CSM")

54
optTO10w = optimize.portfolio(midcap10, pspec.TO10w, optimize_method="CVXR")

55
round(optTO10w$weights, 4)

56
optTO10w$opt_values

57


58