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merge changes to support passing moments and using cash/price

Open braverock opened this issue 7 years ago • 0 comments

Joe W. Beyers @ecjbosu has proposed a set of modifcations to PerformanceAnalytics to allow passing of moments everywhere, and to take cash/price inputs as opposed to returns.

He said, in part, in private email:

I did have to modify the VaR, MVaR, and CVaR, as well as, other minor methods to accomplish my objective.

I found that MVaR and CVaR accepted mean, SD, skew, and kurt parameters but when calling subsidiary functions did no use these, but calculated them from the data. I did not want this so I modified all methods to pass original parameters with arg checks to calculate if missing.

Also, the weights vectors was normalized for a Risk metric to be in return space. I wanted it in price, currency, space. There was a check for VaR >1 that I had to override. I handled this with a flag. I checked that the code worked for my objectives, but did not run a full suite of tests. I have this code in my github @ecjbosu. I did put comments in the code and added some comments to the documentation.

I think his changes are here:

https://github.com/ecjbosu/fSEAL/tree/master/PerformanceAnalytics

If so, this code is 3 years old. Merging will need to be worked on in a feature branch and done carefully, as the code has evolved in that time. Creating this issue to track changes.

braverock avatar Apr 23 '17 13:04 braverock