#SIM and CCM using stockPortfolio
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#===> ((((( 2 )))))  <===#
#===> main functions <===#
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#===> obtain a lot of tickers via included data set <===#
library(stockPortfolio)

#DATA:
ticker <-  c("C", "KEY", "WFC", "JPM",  "SO", "DUK",  "D", "HE",  "EIX",   "LUV", "AMGN",  "GILD", "CELG", "BIIB",  "CAT", "DE", "IMO", "MRO", "HES", "YPF", "^GSPC")

#===> get data <===#
gr1 <- getReturns(ticker, start='1999-12-31', end='2004-12-31')
summary(gr1)
gr1$R		# returns
gr1$ticker  # original ticker
gr1$period  # sample spacing
gr1$start   # when collection started
gr1$end     # when collection ended

#===> simple model building <===#
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#No model - classical Markowitz model:
m1 <- stockModel(gr1, drop=21) # drop index
summary(m1)

#Find the point of tangency:
op1  <- optimalPort(m1)

#Type op1 to see the composition of the point of tangency:
op1

#Plot the 20 stocks, the index, and point G (point of tangency):
plot(op1, xlim=c(0,0.3))

#Add the portfolio possibilities curve:
portPossCurve(m1, add=TRUE)

#Add the tangent (the following will draw the line only up to G:
segments(0,0,op1$risk,op1$R)

#If you want to extend the tangent beyond G:
slope <- (op1$R-0)/op1$risk

segments(0,0,2*op1$risk, m1$Rf+slope*2*op1$risk)

#Add a cloud of points for visualization:
portCloud(m1)

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#Single index model:
#Short sales allowed, default Rf=0.
sm1SIM  <- stockModel(gr1, model='SIM', index=21)
 # defaults:
 #    Rf = 0
 #    shortSelling = TRUE

#Short sales not allowed & a choice of Rf.
sm2SIM <- stockModel(gr1, model='SIM', index=21, Rf=0.03/12, shortSelling=FALSE)

#===> identify the optimal portfolio for single index model<===#
op1SIM <- optimalPort(sm1SIM)
op2SIM <- optimalPort(sm2SIM)
plot(op1SIM)
points(op2SIM, optPortOnly=TRUE, colOP='#888888', cex=2)
portPossCurve(sm1SIM, add=TRUE, riskRange=5)


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#Constant correlation model:
sm1CCM  <- stockModel(gr1, model='CCM', drop=21)
sm2CCM  <- stockModel(gr1, model='CCM', drop=21, shortSelling=FALSE)


#===> identify the optimal portfolio for constant correlation model<===#
op1CCM <- optimalPort(sm1CCM)
op2CCM <- optimalPort(sm2CCM)

plot(op1CCM)
points(op2CCM, optPortOnly=TRUE, colOP='#888888', cex=2)
portPossCurve(sm1CCM, add=TRUE, riskRange=5)

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#Back to single index model.
#Adjusting the betas using Blume's and Vasicek's techniques.

#Need another historical period:
gr2 <- getReturns(ticker, start='2004-12-31', end='2009-12-31')

#Single index model for period 2004-2009:
sm3SIM  <- stockModel(gr2, model='SIM', index=21)

#Update the model using Blume's technique:
simBlu <- adjustBeta(sm1SIM, sm3SIM) # default method is "Blume"


#Update the model using Vasicek's technique:
simVas <- adjustBeta(sm3SIM, method="V")

#Optimize:
op3SIM <- optimalPort(sm3SIM)
opBlu <- optimalPort(simBlu)
opVas <- optimalPort(simVas)



par(mfrow=c(1,3))
plot(op3SIM, xlim=c(0, 0.25), ylim=c(-0.03, 0.12), main="Betas unadjusted")
portPossCurve(sm3SIM, add=TRUE, riskRange=10)

plot(opBlu, xlim=c(0, 0.25), ylim=c(-0.03, 0.12), main="Betas - Blume")
portPossCurve(simBlu, add=TRUE, riskRange=10)

plot(opVas, xlim=c(0, 0.25), ylim=c(-0.03, 0.12), main="Betas - Vasicek")
portPossCurve(simVas, add=TRUE, riskRange=10)


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