Saturday, June 9, 2012

Universal portfolio, part 5

The first three tables in Universal Portfolios presents the same information in numerical form as some of the plots.  The following code generates all three tables by defining a function then calling it with suitable parameters.  The output is text only, so does not match the typography of the original.


# tables 8.1, 8.2 and 8.3 of Cover "Universal Portfolios"
require(logopt)
x <- nyse.cover.1962.1984


ShowTable <- function(a,b) {
cat(sprintf("%s versus %s\n", a, b))
cat(sprintf("------------------\n"))
cat(sprintf("b            Sn(b)\n"))
cat(sprintf("------------------\n"))
xab <- x[,c(a,b)]
nDays <- dim(xab)[1]
Days <- 1:nDays
alphas <- seq(0,1,by=0.05)
crps <- alphas
for (i in 1:length(crps)) {
  crps[i] <- crp(xab, c(1-alphas[i], alphas[i]))[nDays]
  cat(sprintf("%.2f     %9.4f\n",1-alphas[i], crps[i]))
}
cat(sprintf("------------------\n"))
cat(sprintf("Target wealth: Sn* = %.4f\n",max(crps)))
cat(sprintf("Best rebalanced portfolio: bn* = %4.2f\n",1-alphas[which.max(crps)]))
cat(sprintf("Best constituent stock: %.4f\n", max(c(crps[1], crps[length(crps)]))))
cat(sprintf("Universal wealth: Sn^ = %.4f\n\n\n\n", mean(crps)))
}


ShowTable("iroqu","kinar")
ShowTable("comme","kinar")
ShowTable("comme","meico")



iroqu versus kinar
------------------
b            Sn(b)
------------------
1.00        8.9151
0.95       13.7712
0.90       20.2276
0.85       28.2560
0.80       37.5429
0.75       47.4513
0.70       57.0581
0.65       65.2793
0.60       71.0652
0.55       73.6190
0.50       72.5766
0.45       68.0915
0.40       60.7981
0.35       51.6645
0.30       41.7831
0.25       32.1593
0.20       23.5559
0.15       16.4196
0.10       10.8910
0.05        6.8737
0.00        4.1276
------------------
Target wealth: Sn* = 73.6190
Best rebalanced portfolio: bn* = 0.55
Best constituent stock: 8.9151
Universal wealth: Sn^ = 38.6727






comme versus kinar
------------------
b            Sn(b)
------------------
1.00       52.0203
0.95       68.2890
0.90       85.9255
0.85      103.6415
0.80      119.8472
0.75      132.8752
0.70      141.2588
0.65      144.0035
0.60      140.7803
0.55      131.9910
0.50      118.6854
0.45      102.3564
0.40       84.6655
0.35       67.1703
0.30       51.1127
0.25       37.3042
0.20       26.1131
0.15       17.5315
0.10       11.2883
0.05        6.9704
0.00        4.1276
------------------
Target wealth: Sn* = 144.0035
Best rebalanced portfolio: bn* = 0.65
Best constituent stock: 52.0203
Universal wealth: Sn^ = 78.4742






comme versus meico
------------------
b            Sn(b)
------------------
1.00       52.0203
0.95       61.0165
0.90       70.0625
0.85       78.7602
0.80       86.6815
0.75       93.4026
0.70       98.5414
0.65      101.7927
0.60      102.9589
0.55      101.9691
0.50       98.8869
0.45       93.9033
0.40       87.3172
0.35       79.5057
0.30       70.8890
0.25       61.8932
0.20       52.9162
0.15       44.3012
0.10       36.3178
0.05       29.1538
0.00       22.9160
------------------
Target wealth: Sn* = 102.9589
Best rebalanced portfolio: bn* = 0.60
Best constituent stock: 52.0203
Universal wealth: Sn^ = 72.6289




The final table is more complex to reproduce and also more interesting, we'll tackle it in a next post.

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