
ChangeLog
Package fPortfolio

2023-04-22  theussl

	* Removed donlp2 solver and the bestDiversification() function (for the time being).
	* Integrated the Rnlminb2 solver directly into fPortfolio
	* Changed socp solver to the one in parma package. It is (almost)
	the same code but the package is hosted on CRAN hence facilitates
	R CMD check on CRAN.

2015-05-13  wuertz

	* New function pfolioCVaRoptim added. Computes CVaR along
          mean-CVaR optimization approach.

2014-09-30  tsetz

	* Final version compatible to books and other packages.

2014-09-22  tsetz

	* ChangeLog, DESCRIPTION: Updated ChangeLog and DESCRIPTION files
	  after submission to CRAN.

2014-03-26 	wuertz

	* fPortfolioBacktest Package functions from r-forge embedded

2011-02-10  chalabi

	* DESCRIPTION: updated DESC file
	* inst/doc/PortfolioOptimizationSample.pdf: removed pdf file
	  because new version can be found on the website

2011-02-01  chalabi

	* R/efficientPortfolio.R, inst/unitTests/runit.minriskPortfolio.R:
	  Modified returned value of targetRiskFun when the target return
	  is not feasible with the given constraints.

2010-10-26  chalabi

	* NAMESPACE: updated NAMESPACE

2010-07-23  chalabi

	* inst/DocCopying.pdf: removed DocCopying.pdf license is already
	  specified in DESCRIPTION file
	* DESCRIPTION: moved Rglp and quadprog in Imports DESCR file

2010-04-22  chalabi

	* DESCRIPTION: updated DESC file
	* inst/CITATION: updated CITATION file

2010-04-16  chalabi

	* ChangeLog, DESCRIPTION: DESC and Changelog
	* R/solveRquadprog.R: set weights to NA when there is no solution

2010-04-13  chalabi

	* R/solveRquadprog.R: updated for latest version of quadprog

2010-04-12  chalabi

	* CITATION, DESCRIPTION, inst/CITATION: updated CITATION file
	* R/solveRquadprog.R: Using solve.QP rather than calling directly
	  Fortran routine in quadprog pkg.

2009-09-30  chalabi

	* inst/doc, inst/doc/PortfolioOptimizationSample.pdf: added pdf
	  files in inst/doc
	* DESCRIPTION: updated version number + link to ebooks

2009-09-28  chalabi

	* DESCRIPTION: updated version number
	* ChangeLog, DESCRIPTION: updated DESCR and ChangeLog

2009-09-24  stefan7th

	* R/efficientPortfolio.R: committed all minor local changes
	* NAMESPACE: new NAMESPACE structure which should ease maintenance
	  of packages.

2009-06-25  chalabi

	* DESCRIPTION, NAMESPACE: Merge branch 'devel-timeSeries'
	  
	  Conflicts:
	  pkg/timeSeries/R/base-Extract.R
	  pkg/timeSeries/R/timeSeries.R

2009-05-26  wuertz

	* inst/PortfolioOptimizationSample.pdf:

2009-05-08  chalabi

	* DESCRIPTION, NAMESPACE, R/builtin-Rglpk.R, R/covEstimator.R,
	  R/solveRglpk.R, R/zzz.R, src: reverted Rglpk C files
	* man/frontierPlot.Rd, man/getPortfolio.Rd, man/getSpec.Rd,
	  man/getVal.Rd: updated manual pages

2009-05-07  wuertz

	* R/solveRquadprog.R: printing of warning removed, we have to find
	  for this a practicle solution ...

2009-05-06  wuertz

	* R/solveRquadprog.R: prints now warning when solver Rquadprog does
	  not end with status 0, but still continues operations ...
	* R/frontierPlot.R: new argument added return = c("mean", "mu") to
	  function tailoredFrontierPlot(), not checked for the ebook.
	* CITATION: CITATION file added, eBook Portfilio Optimization
	* R/frontierPlot.R: bug fixed in plot routines, only happened when
	  risk free rate was > 0

2009-04-29  wuertz

	* R/covEstimator.R: rmt estimator added
	* NAMESPACE: NAMESPACE all functions exported
	* DESCRIPTION: DESSCRIPTION modified
	* R/builtin-Rglpk.R, R/solveRglpk.R, R/solveRsymphony.R, R/zzz.R:
	  Rglpk builtin added
	* man/solveRsymphony.Rd: symphony deleted
	* src, src/Rglpk.h, src/Rglpk_initialize.c, src/Rglpk_read_file.c,
	  src/Rglpk_solve.c, src/glpapi.h, src/glpapi01.c, src/glpapi02.c,
	  src/glpapi03.c, src/glpapi04.c, src/glpapi05.c, src/glpapi06.c,
	  src/glpapi07.c, src/glpapi08.c, src/glpapi09.c, src/glpapi10.c,
	  src/glpapi11.c, src/glpapi12.c, src/glpapi13.c, src/glpapi14.c,
	  src/glpapi15.c, src/glpapi16.c, src/glpapi17.c, src/glpapi18.c,
	  src/glpapi19.c, src/glpapi20.c, src/glpapi21.c, src/glpavl.c,
	  src/glpavl.h, src/glpbfd.c, src/glpbfd.h, src/glpbfx.c,
	  src/glpbfx.h, src/glpcpx.c, src/glpcpx.h, src/glpdmp.c,
	  src/glpdmp.h, src/glpdmx.c, src/glpfhv.c, src/glpfhv.h,
	  src/glpgmp.c, src/glpgmp.h, src/glphbm.c, src/glphbm.h,
	  src/glpini.h, src/glpini01.c, src/glpini02.c, src/glpios.h,
	  src/glpios01.c, src/glpios02.c, src/glpios03.c, src/glpios04.c,
	  src/glpios05.c, src/glpios06.c, src/glpios07.c, src/glpios08.c,
	  src/glpios09.c, src/glpios10.c, src/glpipm.c, src/glpipm.h,
	  src/glpipp.h, src/glpipp01.c, src/glpipp02.c, src/glpk.h,
	  src/glplib.h, src/glplib01.c, src/glplib02.c, src/glplib03.c,
	  src/glplib04.c, src/glplib05.c, src/glplib06.c, src/glplib07.c,
	  src/glplib08.c, src/glplib09.c, src/glplib10.c, src/glplib11.c,
	  src/glplib12.c, src/glplpf.c, src/glplpf.h, src/glplpp.h,
	  src/glplpp01.c, src/glplpp02.c, src/glplpx01.c, src/glplpx02.c,
	  src/glplpx03.c, src/glplpx04.c, src/glplpx05.c, src/glpluf.c,
	  src/glpluf.h, src/glplux.c, src/glplux.h, src/glpmat.c,
	  src/glpmat.h, src/glpmpl.h, src/glpmpl01.c, src/glpmpl02.c,
	  src/glpmpl03.c, src/glpmpl04.c, src/glpmpl05.c, src/glpmpl06.c,
	  src/glpmps.h, src/glpmps01.c, src/glpmps02.c, src/glpnet.h,
	  src/glpnet01.c, src/glpnet02.c, src/glpnet03.c, src/glpnet04.c,
	  src/glpnet05.c, src/glpnet06.c, src/glpnet07.c, src/glpqmd.c,
	  src/glpqmd.h, src/glprgr.c, src/glprgr.h, src/glprng.h,
	  src/glprng01.c, src/glprng02.c, src/glpscf.c, src/glpscf.h,
	  src/glpscg.c, src/glpscg.h, src/glpscl.c, src/glpscl.h,
	  src/glpsds.c, src/glpspm.c, src/glpspm.h, src/glpspx.h,
	  src/glpspx01.c, src/glpspx02.c, src/glpsql.c, src/glpsql.h,
	  src/glpssx.h, src/glpssx01.c, src/glpssx02.c, src/glpstd.h,
	  src/glptsp.c, src/glptsp.h: Rglpk C files
	* R/solveRglpk.R, R/solveRquadprog.R, R/solveRshortExact.R,
	  R/solveRsymphony.R: small solver updates
	* R/covEstimator.R: more cov estimators added, student, bagged,
	  bayesStein and ledoitWolf, currently for internal use only

2009-04-19  chalabi

	* DESCRIPTION: added explicit version number in Depends field for
	  key packages

2009-04-17  wuertz

	* R/solveRglpk.R: Problems with Rglpk solver now solved.
	* R/portfolioSpec.R: New internal function .checkSpec() introduced.
	  Stops execution when we have specified a linear solver forgot
	  that we have still a quadratic programming problem. Not yet all
	  cases to be checked are already implemented.
	* R/methods-show.R: A bug introduced when printing option
	  introduced for n (=5) lines, has been removed.
	* R/efficientPortfolio.R: The compution of the portfolio now stops
	  and returns an error if the minrisk and/or maxratio portfolios do
	  not exist.

2009-04-04  chalabi

	* NAMESPACE, R/covEstimator.R, R/efficientPortfolio.R,
	  R/feasiblePortfolio.R, R/portfolioConstraints.R,
	  R/portfolioData.R, R/portfolioFrontier.R, R/portfolioRisk.R,
	  R/solveRglpk.R, R/solveRquadprog.R, R/solveRshortExact.R,
	  R/solveRsymphony.R, R/solveTwoAssets.R: improved speed of some
	  key functions

2009-04-03  chalabi

	* R/methods-show.R, R/zzz.R: added 'length.print' in Rmetrics
	  global envir. It is used in show method.

2009-04-03  wuertz

	* R/methods-show.R: prepared for subset printing

2009-04-02  chalabi

	* DESCRIPTION: more explicit depends and suggests field in DESC
	  file.
	* DESCRIPTION: updated DESC file

2009-03-31  chalabi

	* DESCRIPTION: update R version to 2.7.0 in DESC file because Rglpk
	  depends (>= 2.7.0)

2009-03-13  chalabi

	* R/getDefault.R: removed already present method getModel

2009-02-10  wuertz

	* R/getPortfolioVal.R: getPortfolioVal committed
	* man/dataSets.Rd: empty \details removed
	* man/00fPortfolio-package.Rd, man/class-fPFOLIOCON.Rd,
	  man/class-fPFOLIOSPEC.Rd, man/class-fPFOLIOVAL.Rd,
	  man/covEstimator.Rd, man/dataSets.Rd, man/efficientPortfolio.Rd,
	  man/feasiblePortfolio.Rd, man/frontierPlot.Rd,
	  man/frontierPoints.Rd, man/getData.Rd, man/getDefault.Rd,
	  man/getPortfolio.Rd, man/getSpec.Rd, man/portfolioConstraints.Rd,
	  man/portfolioFrontier.Rd, man/portfolioRisk.Rd,
	  man/portfolioSpec.Rd, man/weightsLinePlot.Rd, man/weightsPie.Rd,
	  man/weightsPlot.Rd: man pages improved

2009-02-09  wuertz

	* R/getPortfolio.R, inst/unitTests/runit.weightsPie.R,
	  man/getDefault.Rd, man/setSpec.Rd, man/solveRglpk.Rd,
	  man/solveRquadprog.Rd, man/solveRshortExact.Rd,
	  man/solveRsymphony.Rd, man/weightsPlot.Rd, man/weightsSlider.Rd:
	  more docu minor modifications
	* NAMESPACE, R/efficientPortfolio.R, R/feasiblePortfolio.R,
	  R/frontierPlot.R, R/getData.R, R/getPortfolio.R,
	  R/methods-show.R, R/portfolioConstraints.R, R/portfolioData.R,
	  R/portfolioFrontier.R, R/portfolioRisk.R, R/portfolioSpec.R,
	  R/weightsPie.R, man/00fPortfolio-package.Rd,
	  man/class-fPFOLIOCON.Rd, man/class-fPFOLIODATA.Rd,
	  man/class-fPFOLIOSPEC.Rd, man/class-fPORTFOLIO.Rd,
	  man/covEstimator.Rd, man/efficientPortfolio.Rd,
	  man/feasiblePortfolio.Rd, man/frontierPlot.Rd,
	  man/frontierPlotControl.Rd, man/frontierPoints.Rd,
	  man/getData.Rd, man/getDefault.Rd, man/getPortfolio.Rd,
	  man/getSpec.Rd, man/methods-plot.Rd, man/methods-show.Rd,
	  man/methods-summary.Rd, man/portfolioConstraints.Rd,
	  man/portfolioData.Rd, man/portfolioFrontier.Rd,
	  man/portfolioRisk.Rd, man/portfolioRolling.Rd,
	  man/portfolioSpec.Rd, man/setSpec.Rd, man/solveRglpk.Rd,
	  man/solveRquadprog.Rd, man/solveRshortExact.Rd,
	  man/solveRsymphony.Rd, man/weightsLinePlot.Rd, man/weightsPie.Rd,
	  man/weightsPlot.Rd, man/weightsSlider.Rd: working on help pages,
	  also some script files and code reorganized

2009-02-04  chalabi

	* R/portfolioConstraints.R:

2009-02-03  chalabi

	* man/solveRsymphony.Rd: fixed man pages Rsymphony with new Rdparse

2009-02-02  chalabi

	* DESCRIPTION, NAMESPACE, R/solveRsymphony.R,
	  man/solveRsymphony.Rd: added Rsymphony to fPortfolio

2009-01-30  wuertz

	* R/class-fPFOLIOVAL.R: new class for portffolio values on the
	  frontier
	* NAMESPACE, R/class-fPORTFOLIO.R, R/feasiblePortfolio.R,
	  R/frontierPlot.R, R/frontierPoints.R, R/getPortfolio.R,
	  R/methods-show.R, R/portfolioFrontier.R, R/weightsPlot.R,
	  man/weightsPie.Rd: many small but significant changes
	* R/getPortfolio.R, R/methods-show.R: get / set functions checked,
	  print function for the free risk rate fixed

2009-01-29  wuertz

	* R/getData.R, R/getDefault.R, R/getPortfolio.R, R/getSpec.R,
	  R/methods-show.R, R/portfolioSpec.R, man/getSpec.Rd,
	  man/portfolioSpec.Rd: not yet implemented set and get functions
	  added

2009-01-28  chalabi

	* R/frontierPlot.R: changed tailoredFrontierPlot to avoid warnings

2009-01-26  chalabi

	* data/GCCINDEX.RET.rda, data/GCCINDEX.rda, data/LPP2005.RET.rda,
	  data/LPP2005.rda, data/SMALLCAP.RET.rda, data/SMALLCAP.rda,
	  data/SPISECTOR.RET.rda, data/SPISECTOR.rda, data/SWX.RET.rda,
	  data/SWX.rda: removed user name in documetation slot of
	  timeSeries data

2009-01-26  wuertz

	* R/class-fPORTFOLIO.R, R/feasiblePortfolio.R, R/frontierPlot.R,
	  R/getPortfolio.R, man/portfolioSpec.Rd: fPORTFOLIO class
	  representation modified for the slots data, spec, and constraints

2009-01-25  wuertz

	* R/methods-show.R:
	* R/methods-show.R: print function extended to non-linear
	  constraints
	* R/methods-show.R, R/portfolioData.R: rownames colnames added
	* R/methods-show.R: names added to print function
	* R/methods-show.R: print function extended

2009-01-24  wuertz

	* R/methods-show.R, R/portfolioSpec.R: print functions for
	  portfolio spec improved
	* R/efficientPortfolio.R: Comment added
	* R/efficientPortfolio.R, man/efficientPortfolio.Rd: example
	  modified

2009-01-23  wuertz

	* R/setSpec.R: some checks added
	* R/portfolioConstraints.R: missing target return specified to NA
	* R/methods-show.R: rownames added to print method

2009-01-20  chalabi

	* data/GCCINDEX.RET.rda, data/GCCINDEX.rda, data/LPP2005.RET.rda,
	  data/LPP2005.rda, data/SMALLCAP.RET.rda, data/SMALLCAP.rda,
	  data/SPISECTOR.RET.rda, data/SPISECTOR.rda, data/SWX.RET.rda,
	  data/SWX.rda: datasets as they used to be generated in old zzz.R
	  file

2009-01-20  wuertz

	* data/GCCINDEX.RET.rda, data/GCCINDEX.rda, data/LPP2005.RET.rda,
	  data/SPISECTOR.rda, data/SWX.RET.rda, data/SWX.rda: I put for the
	  moment the data back to fPortfolio, still missing are
	  SPISECTOR.RET and LPP2005. so we have not to build and load every
	  time the whole bundle, when we have a small error in the
	  packages. And the person who uses fPortfolio standalone has also
	  the data. we should build the bundle at the very end identical
	  with the packages in CRAN/R-forge.

2009-01-16  chalabi

	* data/SMALLCAP.RET.rda: added timeSeries data
	* NAMESPACE, R/zzz.R, data/GCCINDEX.DF.CSV,
	  data/LPP2005.RET.DF.CSV, data/SMALLCAP.RET.DF.CSV,
	  data/SPISECTOR.DF.CSV, data/SWX.DF.CSV,
	  man/00fPortfolio-package.Rd, man/solveRglpk.Rd,
	  man/solveRquadprog.Rd, man/solveRshortExact.Rd: fixed warning
	  with new Rd parser and changes data set form csv to timeSeries
	  format

2009-01-12  wuertz

	* R/efficientPortfolio.R: title modified

