long/short portfolio about node-finance HOT 2 CLOSED

Thanks for the feedback.

No, you can't, because I didn't need shorts in my use cases (and I should state that in the docs).

portfolioOptim is the JS porting of the method portfolio.optim in the package tseries in R framework.
https://cran.r-project.org/web/packages/tseries/tseries.pdf

Generally speaking, any figure is tested with an R script and only if the figures are different, it is considered a bug in node-finance.

I should add a flag shorts to the signature, default to false.

Basically I should change lib/portfolio.js like

if (shorts) {
    Amat = stats.rbind(a1, a2, a3, a3neg);
    bvec = [1].concat(pm).concat(lows).concat(highs);
} else {
    Amat = stats.rbind(a1, a2, a3, a3, a3neg);
    bvec = [1].concat(pm).concat(b3).concat(lows).concat(highs);
} 

Any simple test (also with R script to compare the figures)?

See portofolio-test.js in test folder.

from node-finance.

Hello Alberto,
1000 thanks.
Your code suggestion works fantastic;
It gives my plausible results :-)
Best wishes
Ulrich

from node-finance.