adding different ptf

danielecampus · Jan 9, 2025 · a79b855 · a79b855
1 parent bb604f3
commit a79b855
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Showing 12 changed files with 25 additions and 13 deletions.
diff --git a/input/data_prices.parquet b/input/data_prices.parquet
diff --git a/input/data_returns.parquet b/input/data_returns.parquet
diff --git a/input/data_ticker_df.parquet b/input/data_ticker_df.parquet
diff --git a/input/data_timeseries.xlsx b/input/data_timeseries.xlsx
diff --git a/input/multiassets.xlsx b/input/multiassets.xlsx
diff --git a/multiasset_analysis.R b/multiasset_analysis.R
@@ -7,9 +7,16 @@ input_path <- "C:/Users/danie/OneDrive/GitHub/myportfolio/input/"
 output_path <- "C:/Users/danie/OneDrive/GitHub/myportfolio/output/"
 
 # open inputs
-multiasset_ticker_df <- read_parquet(paste0(input_path, "multiasset_ticker_df.parquet"))
-multiasset_sheet_prices <- read_parquet(paste0(input_path, "multiasset_sheet_prices.parquet"))
-multiasset_sheet_returns <- read_parquet(paste0(input_path, "multiasset_sheet_returns.parquet"))
+# anna data
+anna_assets <- c("MSCI World", "US Quality", "World Low Quality", "EU Gov bonds 7-10y", "EU Inflation-Linked
+", "EU Inflation-Linked", "EU Overnight", "US Short Treasury", "ETC Gold")
+anna_ticker_df <- read_parquet(paste0(input_path, "data_ticker_df.parquet")) %>% 
+  filter(Index == anna_assets)
+anna_sheet_prices <- read_parquet(paste0(input_path, "data_returns.parquet"))
+anna_sheet_returns <- read_parquet(paste0(input_path, "data_prices.parquet"))
+
+# ANNA
+
 
 # analysis
 ret_pure <- multiasset_sheet_returns %>% select(-Dates) %>% as.data.frame()

diff --git a/multiasset_data.R b/multiasset_data.R
@@ -13,7 +13,7 @@ ticker_df <- read_xlsx(paste0(input_path,"multiassets.xlsx")
                           , col_types = "text")
 ticker_assets <- ticker_df$Ticker
 index_assets <- ticker_df$Index
-write_parquet(ticker_df, paste0(input_path, "multiasset_ticker_df.parquet"))
+write_parquet(ticker_df, paste0(input_path, "data_ticker_df.parquet"))
 
 # download prices from Yahoo Finance
 tsPrices <- map(ticker_assets, get_prices)
@@ -23,11 +23,11 @@ sheet_prices <- final_prices(price_matrix)
 
 # compute returns
 sheet_returns <- get_returns(sheet_prices, tsPrices)
-write_parquet(sheet_returns, paste0(input_path, "multiasset_sheet_returns.parquet"))
+write_parquet(sheet_returns, paste0(input_path, "data_returns.parquet"))
 
 # arrange prices otherwise I couldn't compute returns
 sheet_prices <- sheet_prices %>% arrange(desc(Dates))
-write_parquet(sheet_prices, paste0(input_path, "multiasset_sheet_prices.parquet"))
+write_parquet(sheet_prices, paste0(input_path, "data_prices.parquet"))
 
 # save in output path
 wb <- createWorkbook()
@@ -38,4 +38,4 @@ writeData(wb, "Prices", sheet_prices)
 addWorksheet(wb, "Returns")
 writeData(wb, "Returns", sheet_returns)
 
-saveWorkbook(wb, paste0(input_path, "multiassets_ret.xlsx"), overwrite = T)
+saveWorkbook(wb, paste0(input_path, "data_timeseries.xlsx"), overwrite = T)
diff --git a/multiasset_montecarlo_simulation.R b/multiasset_montecarlo_simulation.R
@@ -1,3 +1,8 @@
+setwd("C:/Users/danie/OneDrive/GitHub/myportfolio")
+
+source("library.R")
+source("functions.R")
+
 input_path <- "C:/Users/danie/OneDrive/GitHub/myportfolio/input/"
 output_path <- "C:/Users/danie/OneDrive/GitHub/myportfolio/output/"
 
@@ -13,12 +18,12 @@ corr_matrix <- cor(ret_pure)
 avg_returns <- ret_pure %>% summarise(across(everything(), mean)) 
 
 # define quotes of each asset
-multiasset_quotes <- c(0.15,0.15,0.10, 0.22,0.06,0.15, 0.05, 0.12)
-sum(multiasset_quotes) # = 1
+anna_quotes <- c(0.30,0.15,0.10, 0.15,0.05,0.1, 0.05, 0.1)
+sum(anna_quotes) # = 1
 
 # monte carlo inputs
 n_sim <- 10000
-n_period <- 24
+n_period <- 12
 initial_value <- 50000
 avg_returns_vector <- avg_returns %>% as.numeric() %>% as.vector()
 
@@ -32,7 +37,7 @@ simulated_returns <- MASS::mvrnorm(
 
 simulated_returns <- array(simulated_returns, dim =  c(n_sim, n_period, length(avg_returns_vector)))
 
-portfolio_returns <-apply(simulated_returns, c(1,2), function(x) sum(x*multiasset_quotes))
+portfolio_returns <-apply(simulated_returns, c(1,2), function(x) sum(x*anna_quotes))
 
 # portfolio value
 portfolio_values <- matrix(NA, nrow = n_sim, ncol = n_period)
@@ -72,7 +77,7 @@ cat("ES:", round(ES_percent, 2), "%\n")
 
 # weighted returns
 ret_pure <- multiasset_sheet_returns %>% arrange(Dates) %>% select(-Dates) %>% as.matrix()
-historical_returns <- ret_pure %*% multiasset_quotes
+historical_returns <- ret_pure %*% anna_quotes
 
 historical_data <- data.frame(Dates = multiasset_sheet_returns$Dates) %>% 
   arrange(Dates) %>% 
@@ -110,7 +115,7 @@ write_parquet(multiasset_combined_data, paste0(output_path, "multiasset_mc_forec
 exp_ret <- max(multiasset_forecast_summary$Mean)/last(historical_data$Cumulative_Value)-1
 
 # plot
-png(paste0(output_path, "gfx/multiasset_forecast.png"))
+png(paste0(output_path, "gfx/anna_12m_forecast.png"))
 ggplot(multiasset_combined_data, aes(x = Dates)) +
   geom_line(aes(y = Mean), color = "blue", size = 1) +
   geom_ribbon(data = multiasset_forecast_summary, aes(ymin = P5, ymax = P95), fill = "blue", alpha = 0.2) +

diff --git a/output/gfx/anna_12m_forecast.png b/output/gfx/anna_12m_forecast.png
diff --git a/output/multiasset_mc_forecast.parquet b/output/multiasset_mc_forecast.parquet
diff --git a/xlsx/asset_allocation_anna.xlsx b/xlsx/asset_allocation_anna.xlsx
diff --git a/xlsx/asset_allocation_chiara.xlsx b/xlsx/asset_allocation_chiara.xlsx