-
-
Save parikshit95/bbfc0f8eec9b7a435fadb5d7cdd8c5d4 to your computer and use it in GitHub Desktop.
Portfolio Analytics Shiny App
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
library(PerformanceAnalytics) | |
library(PortfolioAnalytics) | |
library(quantmod) | |
options( error = recover ) | |
fastCovMcdEstimator <- function(x, spec=NULL,...) { | |
covMcdEstimate | |
} | |
get_portfolio_frontier <- function(data, riskFree, estimator="kendallEstimator", | |
optimizeParam, frontierPoints, riskFreeRate, | |
targetReturn, targetRisk, constraints="none") { | |
data = timeSeries(data) | |
riskFree = (riskFree/100)/12 | |
targetReturn = targetReturn/100 | |
targetRisk = targetRisk/100 | |
Spec1 = portfolioSpec( | |
model=list( | |
type="MV", | |
optimize=optimizeParam, | |
estimator=estimator, | |
tailRisk=list(), | |
params=list(alpha=0.05,a=2)), | |
portfolio = list( | |
weights=NULL, | |
targetReturn=targetReturn, | |
targetRisk=targetRisk, | |
riskFreeRate = riskFree, | |
nFrontierPoints = frontierPoints), | |
optim = list( | |
solver = "solveRquadprog", | |
objective=NULL, | |
control=list(meq=2))) | |
if (constraints != "none") { | |
setSolver(Spec1) = "solveRshortExact" | |
portfFrontier = portfolioFrontier(data=data, spec=Spec1, constraints=constraints) | |
} else { | |
portfFrontier = portfolioFrontier(data=data, spec=Spec1) | |
} | |
return(portfFrontier) | |
} | |
getColor <- function(numberOfEntries) { | |
return(divPalette(numberOfEntries, "RdBu")) | |
} | |
shinyServer(function(input, output) { | |
datasetInput <- reactive({ | |
switch(input$dataset, | |
"EDHEC" = edhec, | |
"Indices" = indexes) | |
}) | |
constraints <- reactive({ | |
switch(input$constraints, | |
"None" = "none", | |
"Long Only" = "LongOnly") | |
}) | |
portfolio_estimator <- reactive({ | |
switch(input$estimator, | |
"MVE" = "mveEstimator", | |
"Kendall" = "kendallEstimator", | |
"Covariance MCD" = "covMcdEstimator", | |
"Covariance OGK" = "covOGKEstimator", | |
"NNVE" = "nnveEstimator") | |
}) | |
optimize_parameters <- reactive({ | |
switch(input$optimize, | |
"Minimum Risk" = "minRisk", | |
"Maximum Return" = "maxReturn") | |
}) | |
riskfree_rate <- reactive({input$riskfree}) | |
frontier_points <- reactive({input$frontier_points}) | |
target_return <- reactive({input$target_return}) | |
target_risk <- reactive({input$target_risk}) | |
output$frontierPlot <- renderPlot({ | |
# Take a dependency on input$goButton | |
input$goButton | |
if (input$goButton == 0) { | |
return() | |
} else { | |
portfolio <- datasetInput() | |
pfrontier = get_portfolio_frontier(portfolio, riskFree=riskfree_rate(), | |
estimator=portfolio_estimator(), optimizeParam=optimize_parameters(), | |
frontierPoints = frontier_points(), riskFreeRate=riskfree_rate(), | |
targetReturn=target_return(), targetRisk=target_risk(), | |
constraints = constraints()) | |
tailoredFrontierPlot(pfrontier, risk="Sigma") | |
} | |
}) | |
output$weightsPlot <- renderPlot({ | |
input$goButton | |
if (input$goButton == 0) { | |
return() | |
} else { | |
portfolio <- datasetInput() | |
pfrontier = get_portfolio_frontier(portfolio, riskFree=riskfree_rate(), | |
estimator=portfolio_estimator(), optimizeParam=optimize_parameters(), | |
frontierPoints = frontier_points(), riskFreeRate=riskfree_rate(), | |
targetReturn=target_return(), targetRisk=target_risk(), | |
constraints = constraints()) | |
weightsPlot(pfrontier, mtext=FALSE, col=getColor(length(colnames(portfolio)))) | |
} | |
}) | |
output$weightedReturnsPlot <- renderPlot({ | |
input$goButton | |
if (input$goButton == 0) { | |
return() | |
} else { | |
portfolio <- datasetInput() | |
pfrontier = get_portfolio_frontier(portfolio, riskFree=riskfree_rate(), | |
estimator=portfolio_estimator(), optimizeParam=optimize_parameters(), | |
frontierPoints = frontier_points(), riskFreeRate=riskfree_rate(), | |
targetReturn=target_return(), targetRisk=target_risk(), | |
constraints = constraints()) | |
weightedReturnsPlot(pfrontier, mtext=FALSE, col=getColor(length(colnames(portfolio)))) | |
} | |
}) | |
output$summaryTable <- renderPrint({ | |
input$goButton | |
if (input$goButton == 0) { | |
return() | |
} else { | |
portfolio <- datasetInput() | |
pfrontier = get_portfolio_frontier(portfolio, riskFree=riskfree_rate(), | |
estimator=portfolio_estimator(), optimizeParam=optimize_parameters(), | |
frontierPoints = frontier_points(), riskFreeRate=riskfree_rate(), | |
targetReturn=target_return(), targetRisk=target_risk(), | |
constraints = constraints()) | |
print(pfrontier) | |
} | |
}) | |
}) |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
<script type="text/javascript"> | |
var wasBusy = false; | |
var elapsedTimer = null; | |
var startTime = null; | |
function updateBusy() { | |
var isBusy = $('html').hasClass('shiny-busy'); | |
if (isBusy && !wasBusy) { | |
startTime = new Date().getTime(); | |
elapsedTimer = setInterval(function() { | |
var millisElapsed = new Date().getTime() - startTime; | |
$('#progress').text(Math.round(millisElapsed/1000) + ' seconds have elapsed'); | |
}, 1000); | |
} | |
else if (!isBusy && wasBusy) { | |
clearInterval(elapsedTimer); | |
} | |
wasBusy = isBusy; | |
} | |
</script> |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
library(shinyIncubator) | |
shinyUI(pageWithSidebar( | |
headerPanel("Portfolio Analytics"), | |
sidebarPanel( | |
selectInput("dataset", "Choose A Dataset:", | |
choices=c("EDHEC", "Indices")), | |
p(br()), | |
numericInput("riskfree", "Risk free Rate: ", 0), | |
sliderInput("frontier_points", "Number Of Frontier Points :", value=10, | |
min=5, max=100, step=1), | |
numericInput("target_return", "Target Return %: ", 10), | |
numericInput("target_risk", "Target Risk %", 2), | |
selectInput("constraints", "Constraints: ", | |
choices=c("None","Long Only")), | |
selectInput("estimator", "Portfolio Estimator", | |
choices=c("MVE", "Kendall","Covariance OGK", "Covariance MCD", | |
"NNVE")), | |
selectInput("optimize", "Optimize For: ", | |
choices=c("Minimum Risk","Maximum Return")), | |
p(br()), | |
actionButton("goButton", "Start"), | |
helpText("This is the ATYS experimental risk charting app. More details will be | |
filled in as the app becomes more developed."), | |
p(br(), a("ATYS Bonds Home", href="http://atysbonds.com/blog")), | |
p(br(), a("ATYS Support", href="mailto:support@atysbonds.com")) | |
), | |
mainPanel( | |
conditionalPanel("updateBusy() || $('html').hasClass('shiny-busy')", | |
id='progressIndicator', | |
"Processing Request", | |
div(id='progress',includeHTML("timer.js")) | |
), | |
tags$head(tags$style(type="text/css", | |
'#progressIndicator {', | |
' position: float; top: 8px; right: 8px; width: 200px; height: 50px;', | |
' padding: 8px; border: 1px solid #CCC; border-radius: 8px;', | |
'}')), | |
tabsetPanel( | |
tabPanel("Charts", | |
h4("Tailored Frontier Plot"), | |
plotOutput("frontierPlot"), | |
h4("Portfolio Weights"), | |
plotOutput("weightsPlot"), | |
h4("Weighted Returns Plot"), | |
plotOutput("weightedReturnsPlot")), | |
tabPanel("Summary", | |
verbatimTextOutput("summaryTable")) | |
) | |
) | |
)) |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment