CoCalc -- test_cplex

GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/test_cplex_gmv.R
¹⁴³³ views
1
library(PortfolioAnalytics)
2
library(Rcplex)
3
library(ROI)
4
library(ROI.plugin.cplex)
5
library(testthat)
6

7
# Test that PortfolioAnalytics with ROI.plugin.cplex solutions equal Rcplex solutions
8
context("GMV Portfolios: PortfolioAnalytics with ROI.plugin.cplex and Rcplex")
9

10
# args(Rcplex)
11
# ?Rcplex
12

13
##### Data #####
14
data(edhec)
15
R <- edhec[, 1:5]
16
funds <- colnames(R)
17
m <- ncol(R)
18

19
##### Parameters #####
20
portf <- portfolio.spec(funds)
21
portf <- add.constraint(portf, type="full_investment")
22
portf <- add.constraint(portf, type="box", min=-Inf, max=Inf)
23
portf <- add.objective(portf, type="risk", name="var")
24

25
# Quadratic part of objective function
26
objQ <- 2 * cov(R)
27

28
# Linear part of objective function
29
objL <- rep(0, m)
30

31
# Constraints matrix
32
Amat <- matrix(1, nrow=1, ncol=m)
33

34
# right hand side of constraints
35
rhs <- 1
36

37
# direction of inequality of constraints
38
dir <- "E"
39

40
##### Unconstrained #####
41
# Upper and lower bounds (i.e. box constraints)
42
# Rcplex bounds
43
lb <- rep(-Inf, m)
44
ub <- rep(Inf, m)
45

46
# Solve optimization with Rcplex
47
opt.rcplex <- Rcplex(cvec=objL, Amat=Amat, bvec=rhs, Qmat=objQ, lb=lb, ub=ub, 
48
                     sense=dir, control=list(trace=0))
49

50
# Solve optimization with PortfolioAnalytics
51
opt.pa <- optimize.portfolio(R, portf, optimize_method="cplex")
52
weights <- as.numeric(extractWeights(opt.pa))
53

54
test_that("Unconstrained: PortfolioAnalytics and Rcplex solution weights are equal", {
55
  expect_that(weights, equals(opt.rcplex$xopt))
56
})
57

58
test_that("Unconstrained: PortfolioAnalytics and Rcplex solution objective values are equal", {
59
  expect_that(opt.pa$out, equals(opt.rcplex$obj))
60
})
61

62
##### Long Only #####
63
# Upper and lower bounds (i.e. box constraints)
64
# Rcplex bounds
65
lb <- rep(0, m)
66
ub <- rep(1, m)
67

68
# Update box constraints in portfolio
69
portf$constraints[[2]]$min <- lb
70
portf$constraints[[2]]$max <- ub
71

72
# Solve optimization with Rcplex
73
opt.rcplex <- Rcplex(cvec=objL, Amat=Amat, bvec=rhs, Qmat=objQ, lb=lb, ub=ub, 
74
                     sense=dir, control=list(trace=0))
75

76
# Solve optimization with PortfolioAnalytics
77
opt.pa <- optimize.portfolio(R, portf, optimize_method="cplex")
78
weights <- as.numeric(extractWeights(opt.pa))
79

80
test_that("Long Only: PortfolioAnalytics and Rcplex solution weights are equal", {
81
  expect_that(weights, equals(opt.rcplex$xopt))
82
})
83

84
test_that("Long Only: PortfolioAnalytics bounds are respected", {
85
  expect_that(all(weights >= lb) & all(weights <= ub), is_true())
86
})
87

88
test_that("Long Only: Rcplex bounds are respected", {
89
  expect_that(all(opt.rcplex$xopt >= lb) & all(opt.rcplex$xopt <= ub), is_true())
90
})
91

92
test_that("Long Only: PortfolioAnalytics and Rcplex solution objective values are equal", {
93
  expect_that(opt.pa$out, equals(opt.rcplex$obj))
94
})
95

96
##### Box #####
97
# Upper and lower bounds (i.e. box constraints)
98
# Rcplex bounds
99
lb <- rep(0.05, m)
100
ub <- rep(0.55, m)
101

102
# Update box constraints in portfolio
103
portf$constraints[[2]]$min <- lb
104
portf$constraints[[2]]$max <- ub
105

106
# Solve optimization with Rcplex
107
opt.rcplex <- Rcplex(cvec=objL, Amat=Amat, bvec=rhs, Qmat=objQ, lb=lb, ub=ub, 
108
                     sense=dir, control=list(trace=0))
109

110
# Solve optimization with PortfolioAnalytics
111
opt.pa <- optimize.portfolio(R, portf, optimize_method="cplex")
112
weights <- as.numeric(extractWeights(opt.pa))
113

114

115
test_that("Box: PortfolioAnalytics and Rcplex solution weights are equal", {
116
  expect_that(weights, equals(opt.rcplex$xopt))
117
})
118

119
test_that("Box: PortfolioAnalytics bounds are respected", {
120
  expect_that(all(weights >= lb) & all(weights <= ub), is_true())
121
})
122

123
test_that("Box: Rcplex bounds are respected", {
124
  expect_that(all(opt.rcplex$xopt >= lb) & all(opt.rcplex$xopt <= ub), is_true())
125
})
126

127
test_that("Box: PortfolioAnalytics and Rcplex solution objective values are equal", {
128
  expect_that(opt.pa$out, equals(opt.rcplex$obj))
129
})
130

131
##### Box with Shorting #####
132
# Upper and lower bounds (i.e. box constraints)
133
# Rcplex bounds
134
lb <- rep(-0.05, m)
135
ub <- rep(0.55, m)
136

137
# Update box constraints in portfolio
138
portf$constraints[[2]]$min <- lb
139
portf$constraints[[2]]$max <- ub
140

141
# Solve optimization with Rcplex
142
opt.rcplex <- Rcplex(cvec=objL, Amat=Amat, bvec=rhs, Qmat=objQ, lb=lb, ub=ub, 
143
                     sense=dir, control=list(trace=0))
144

145
# Solve optimization with PortfolioAnalytics
146
opt.pa <- optimize.portfolio(R, portf, optimize_method="cplex")
147
weights <- as.numeric(extractWeights(opt.pa))
148

149

150
test_that("Box with Shorting: PortfolioAnalytics and Rcplex solution weights are equal", {
151
  expect_that(weights, equals(opt.rcplex$xopt))
152
})
153

154
test_that("Box with Shorting: PortfolioAnalytics bounds are respected", {
155
  expect_that(all(weights >= lb) & all(weights <= ub), is_true())
156
})
157

158
test_that("Box with Shorting: Rcplex bounds are respected", {
159
  expect_that(all(opt.rcplex$xopt >= lb) & all(opt.rcplex$xopt <= ub), is_true())
160
})
161

162
test_that("Box with Shorting: PortfolioAnalytics and Rcplex solution objective values are equal", {
163
  expect_that(opt.pa$out, equals(opt.rcplex$obj))
164
})
165

166
Rcplex.close()
167

168
Product

Resources

Company
