# 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 # Copyrights (C) # for this R-port: # 1999 - 2007, Rmetrics Foundation, GPL # Contact: Diethelm Wuertz # info@rmetrics.org # www.rmetrics.org # for the code accessed (or partly included) from other R-ports: # see R's copyright and license files # for the code accessed (or partly included) from contributed R-ports # and other sources # see Rmetrics's copyright file ################################################################################ # FUNCTION: EXAMPLE DATA: # .dutchPortfolioData Example Data from Engel's Diploma Thesis # .usPortfolioData Annual US Economics Portfolio Data # .sm132PortfolioData Example from Scherer, Martin: Chapter 1.32 # .worldIndexData A data set of World Indexes ################################################################################ .dutchPortfolioData = function() { # A function implemented by Rmetrics # Description: # Example Portfolio Data from Engels # Example: # engelsPortfolioData() # FUNCTION: # Mean Returns: mu = c(0.266, 0.274, 0.162, 0.519, 0.394, 0.231, 0.277) / 1000 names(mu) = c( "Elsevier", "Fortis", "Getronics", "Heineken", "Philips", "RoyalDutch", "Unilever") # Variance-Covariance Risk: Sigma = c( 0.345, 0.150, 0.183, 0.088, 0.186, 0.090, 0.095, 0.150, 0.399, 0.204, 0.107, 0.236, 0.130, 0.127, 0.183, 0.204, 1.754, 0.075, 0.325, 0.110, 0.091, 0.088, 0.107, 0.075, 0.243, 0.096, 0.064, 0.086, 0.186, 0.236, 0.325, 0.096, 0.734, 0.147, 0.114, 0.090, 0.130, 0.110, 0.064, 0.147, 0.221, 0.093, 0.095, 0.127, 0.091, 0.086, 0.114, 0.093, 0.219) Sigma = matrix(Sigma, ncol = 7) colnames(Sigma) = rownames(Sigma) = names(mu) # Return Value: list(mu = mu, Sigma = Sigma) } # ------------------------------------------------------------------------------ .usPortfolioData = function() { # A function implemented by Rmetrics # Description: # Annual US Economics Portfolio Data # Example: # usPortfolioData() # list(mu = round(mean(usPortfolioData()),5), # Sigma = round(var(usPortfolioData()), 5)) # FUNCTION: # Units: Units = c("TBills3m", "LongBonds", "SP500", "Wilshire5000", "NASDAQComp", "LehmanBonds", "EAFE", "Gold") # Time Series Object: tS = as.timeSeries(as.data.frame(matrix(c( 19731231,1.075,0.942,0.852,0.815,0.698,1.023,0.851,1.677, 19741231,1.084,1.020,0.735,0.716,0.662,1.002,0.768,1.722, 19751231,1.061,1.056,1.371,1.385,1.318,1.123,1.354,0.760, 19761231,1.052,1.175,1.236,1.266,1.280,1.156,1.025,0.960, 19771231,1.055,1.002,0.926,0.974,1.093,1.030,1.181,1.200, 19781231,1.077,0.982,1.064,1.093,1.146,1.012,1.326,1.295, 19791231,1.109,0.978,1.184,1.256,1.307,1.023,1.048,2.212, 19801231,1.127,0.947,1.323,1.337,1.367,1.031,1.226,1.296, 19811231,1.156,1.003,0.949,0.963,0.990,1.073,0.977,0.688, 19821231,1.117,1.465,1.215,1.187,1.213,1.311,0.981,1.084, 19831231,1.092,0.985,1.224,1.235,1.217,1.080,1.237,0.872, 19841231,1.103,1.159,1.061,1.030,0.903,1.150,1.074,0.825, 19851231,1.080,1.366,1.316,1.326,1.333,1.213,1.562,1.006, 19861231,1.063,1.309,1.186,1.161,1.086,1.156,1.694,1.216, 19871231,1.061,0.925,1.052,1.023,0.959,1.023,1.246,1.244, 19881231,1.071,1.086,1.165,1.179,1.165,1.076,1.283,0.861, 19891231,1.087,1.212,1.316,1.292,1.204,1.142,1.105,0.977, 19901231,1.080,1.054,0.968,0.938,0.830,1.083,0.766,0.922, 19911231,1.057,1.193,1.304,1.342,1.594,1.161,1.121,0.958, 19921231,1.036,1.079,1.076,1.090,1.174,1.076,0.878,0.926, 19931231,1.031,1.217,1.100,1.113,1.162,1.110,1.326,1.146, 19941231,1.045,0.889,1.012,0.999,0.968,0.965,1.078,0.990), byrow = TRUE, ncol = 9))) colnames(tS)<-Units # Return Value: tS } # ------------------------------------------------------------------------------ .sm132PortfolioData = function() { # A function implemented by Rmetrics # Description: # Example from Scherer, Martin: "Modern Portfolio Omtimization": # Cheapter 1.32 # FUNCTION: corr = matrix(data = c( 1, 0.4, 0.5, 0.5, 0.4, 0.1, 0.1, 0.1, 0.4, 1.0, 0.3, 0.3, 0.1, 0.4, 0.1, 0.1, 0.5, 0.3, 1.0, 0.7, 0.1, 0.1, 0.5, 0.1, 0.5, 0.3, 0.7, 1.0, 0.1, 0.1, 0.1, 0.5, 0.4, 0.1, 0.1, 0.1, 1.0, 0.0, 0.0, 0.0, 0.1, 0.4, 0.1, 0.1, 0.0, 1.0, 0.0, 0.0, 0.1, 0.1, 0.5, 0.1, 0.0, 0.0, 1.0, 0.2, 0.1, 0.1, 0.1, 0.5, 0.0, 0.0, 0.2, 1.0), nrow = 8, ncol = 8) vol = diag(c(17, 21, 22, 20, 8, 8, 8, 8)) Cov = vol %*% corr %*% vol # Average return mu = c(3, 4, 5, 6, 0.25, 0.5, 0.75, 1) # Return value: list(mu = mu, Sigma = Cov) } # ------------------------------------------------------------------------------ .worldIndexData = function() { # Description: # A data set of World Indexs contributed by Dominik Locher # Units: Units = c("Asia", "EasternEurope", "FarEast", "LatinAmerica") # Time Series Object: x = c( 20070327,370.04,302.41,326.56,3100.66, 20070326,370.37,304.79,327.06,3128.91, 20070325,369.54,302.25,326.03,3124.70, 20070324,369.54,302.25,326.03,3124.70, 20070323,369.54,302.25,326.03,3124.70, 20070322,369.75,298.95,326.26,3129.17, 20070321,365.46,292.45,322.84,3116.79, 20070320,362.57,289.46,320.86,3034.35, 20070319,360.93,292.24,319.81,2990.89, 20070318,357.70,287.29,317.28,2938.57, 20070317,357.70,287.29,317.28,2938.57, 20070316,357.70,287.29,317.28,2938.57, 20070315,357.74,285.52,317.04,2962.38, 20070314,353.26,281.37,312.66,2936.81, 20070313,362.26,285.91,320.23,2930.81, 20070312,362.09,286.35,320.47,3014.71, 20070311,357.45,288.41,315.81,3004.10, 20070310,357.45,288.41,315.81,3004.10, 20070309,357.45,288.41,315.81,3004.10, 20070308,357.38,281.80,315.42,2964.89, 20070307,350.68,278.35,310.37,2901.26, 20070306,349.63,278.58,308.97,2910.81, 20070305,342.19,273.38,302.54,2797.08, 20070304,357.72,282.62,316.19,2880.75, 20070303,357.72,282.62,316.19,2880.75, 20070302,357.72,282.62,316.19,2880.75, 20070301,359.75,280.80,317.25,2925.88, 20070228,363.46,290.20,321.72,2957.57, 20070227,372.72,297.04,329.05,2933.25, 20070226,377.55,308.41,333.45,3143.55, 20070225,378.21,304.53,334.12,3152.57, 20070224,378.21,304.53,334.12,3152.57, 20070223,378.21,304.53,334.12,3152.57, 20070222,379.11,303.81,334.01,3198.17, 20070221,378.44,300.74,332.64,3166.70, 20070220,377.83,300.17,331.72,3157.26, 20070219,377.94,303.03,331.21,3166.05, 20070218,378.26,301.19,331.53,3162.13, 20070217,378.26,301.19,331.53,3162.13, 20070216,378.26,301.19,331.53,3162.13, 20070215,377.28,299.89,330.64,3172.06, 20070214,372.47,301.38,327.11,3172.37, 20070213,368.75,295.28,323.16,3112.62, 20070212,372.40,289.73,326.33,3049.67, 20070211,376.56,297.99,329.20,3081.50, 20070210,376.56,297.99,329.20,3081.50, 20070209,376.56,297.99,329.20,3081.50, 20070208,376.37,298.04,328.56,3111.51, 20070207,376.14,305.12,328.39,3111.97, 20070206,374.87,306.71,327.71,3123.29, 20070205,372.22,304.55,324.90,3105.70, 20070204,370.91,302.47,324.03,3096.00, 20070203,370.91,302.47,324.03,3096.00, 20070202,370.91,302.47,324.03,3096.00, 20070201,366.10,302.61,319.70,3080.11, 20070131,362.92,296.93,317.05,3041.84, 20070130,365.45,293.86,319.34,2994.49, 20070129,363.99,293.20,317.87,2959.63, 20070128,365.73,295.87,319.48,3008.45, 20070127,365.73,295.87,319.48,3008.45, 20070126,365.73,295.87,319.48,3008.45, 20070125,371.24,299.37,325.03,3031.37, 20070124,372.54,298.33,326.91,3050.37, 20070123,367.71,297.63,322.26,3005.14, 20070122,368.07,297.03,322.01,2965.56, 20070121,366.07,292.74,320.23,2954.21, 20070120,366.07,292.74,320.23,2954.21, 20070119,366.07,292.74,320.23,2954.21, 20070118,368.51,289.85,322.62,2901.66, 20070117,366.67,288.32,320.87,2926.80, 20070116,367.78,292.91,322.15,2908.26, 20070115,366.66,296.45,320.98,2933.52, 20070114,361.66,288.98,316.46,2926.08, 20070113,361.66,288.98,316.46,2926.08, 20070112,361.66,288.98,316.46,2926.08, 20070111,354.97,290.37,311.21,2902.35, 20070110,354.90,285.22,311.93,2859.72, 20070109,361.15,288.23,317.46,2849.87, 20070108,362.10,304.41,318.23,2903.84, 20070107,367.47,304.32,322.78,2880.09, 20070106,367.47,304.32,322.78,2880.09, 20070105,367.47,304.32,322.78,2880.09, 20070104,370.65,307.56,325.92,2968.18, 20070103,376.06,310.53,331.11,3002.63, 20070102,377.21,311.52,332.33,3039.15, 20070101,371.46,309.43,327.07,2995.67, 20061231,371.46,309.43,327.07,2995.67, 20061230,371.46,309.43,327.07,2995.67, 20061229,371.46,309.43,327.07,2995.67, 20061228,370.18,307.74,325.65,2981.90, 20061227,368.11,304.17,323.63,2975.56, 20061226,363.36,300.91,319.54,2926.69, 20061225,362.36,301.54,319.41,2902.57, 20061224,362.60,302.53,319.65,2902.57, 20061223,362.60,302.53,319.65,2902.57, 20061222,362.60,302.53,319.65,2902.57, 20061221,361.54,304.50,318.98,2910.08, 20061220,361.98,304.64,319.70,2918.35, 20061219,356.34,300.35,313.84,2917.11, 20061218,363.09,306.87,319.50,2936.06, 20061217,360.37,306.83,317.06,2942.70, 20061216,360.37,306.83,317.06,2942.70, 20061215,360.37,306.83,317.06,2942.70, 20061214,358.11,305.14,315.26,2938.00, 20061213,352.99,302.33,311.23,2903.05, 20061212,352.75,304.36,311.64,2890.34, 20061211,356.43,305.03,314.04,2907.91, 20061210,358.28,308.42,314.60,2895.92, 20061209,358.28,308.42,314.60,2895.92, 20061208,358.28,308.42,314.60,2895.92, 20061207,363.08,308.81,318.78,2889.90, 20061206,363.95,308.24,319.82,2891.55, 20061205,362.05,308.20,317.71,2887.74, 20061204,359.44,303.24,315.40,2836.95, 20061203,360.01,300.45,316.12,2780.48, 20061202,360.01,300.45,316.12,2780.48, 20061201,360.01,300.45,316.12,2780.48, 20061130,358.40,299.50,315.12,2804.62, 20061129,354.34,296.95,311.25,2789.24, 20061128,350.48,288.78,307.40,2726.65, 20061127,356.66,287.56,312.97,2732.92, 20061126,354.96,287.21,311.34,2782.22, 20061125,354.96,287.21,311.34,2782.22, 20061124,354.96,287.21,311.34,2782.22, 20061123,354.65,285.92,311.04,2791.43, 20061122,353.85,284.78,310.34,2787.78, 20061121,349.05,284.25,305.82,2767.77, 20061120,347.46,278.95,304.95,2740.54, 20061119,348.12,281.08,305.55,2735.42, 20061118,348.12,281.08,305.55,2735.42, 20061117,348.12,281.08,305.55,2735.42, 20061116,348.96,285.75,306.06,2761.74, 20061115,347.24,283.87,304.79,2766.90, 20061114,346.29,284.29,303.74,2760.15, 20061113,343.74,283.69,301.17,2721.09, 20061112,343.78,284.11,301.32,2733.62, 20061111,343.78,284.11,301.32,2733.62, 20061110,343.78,284.11,301.32,2733.62, 20061109,343.01,283.30,300.81,2750.00, 20061108,339.56,280.29,297.78,2750.76, 20061107,340.64,282.54,298.59,2739.01, 20061106,337.81,277.43,295.87,2743.48, 20061105,338.56,275.49,296.72,2687.33, 20061104,338.56,275.49,296.72,2687.33, 20061103,338.56,275.49,296.72,2687.33, 20061102,336.80,272.81,295.09,2666.32, 20061101,333.81,277.98,292.27,2673.55, 20061031,331.68,270.93,290.50,2663.66, 20061030,330.43,266.78,288.86,2619.44, 20061029,331.79,274.60,290.85,2667.38, 20061028,331.79,274.60,290.85,2667.38, 20061027,331.79,274.60,290.85,2667.38, 20061026,331.41,276.15,291.20,2698.02, 20061025,329.05,275.38,289.16,2688.38, 20061024,328.31,272.69,288.43,2668.66, 20061023,326.76,271.96,286.86,2654.76, 20061022,328.10,274.18,287.91,2637.77, 20061021,328.10,274.18,287.91,2637.77, 20061020,328.10,274.18,287.91,2637.77, 20061019,326.66,277.17,286.40,2651.84, 20061018,327.51,274.63,286.91,2636.09, 20061017,328.14,270.77,287.48,2619.25, 20061016,329.36,271.73,288.66,2649.86, 20061015,326.89,273.78,286.76,2625.68, 20061014,326.89,273.78,286.76,2625.68, 20061013,326.89,273.78,286.76,2625.68, 20061012,322.28,267.06,282.92,2579.95, 20061011,320.70,267.86,282.06,2558.04, 20061010,320.94,266.72,282.39,2573.41, 20061009,319.22,268.07,280.62,2547.12, 20061008,323.44,262.86,284.71,2530.23, 20061007,323.44,262.86,284.71,2530.23, 20061006,323.44,262.86,284.71,2530.23, 20061005,323.43,265.18,284.83,2535.34, 20061004,320.04,259.29,282.16,2505.77, 20061003,323.99,256.38,285.66,2449.38, 20061002,323.89,261.75,285.40,2482.37, 20061001,322.90,260.28,284.41,2473.06, 20060930,322.90,260.28,284.41,2473.06, 20060929,322.90,260.28,284.41,2473.06) tS = as.timeSeries(data.frame(matrix(x, byrow = TRUE, ncol = 5))) tS = returnSeries(rev(tS)) colnames(tS)<-Units # Return Value: tS } ################################################################################