[GSoC-PortA] mapping function

[Brian G. Peterson]

On 06/29/2013 05:05 PM, Ross Bennett wrote:
> See comments/questions below.
<...>
> [Ross] Would the while loops in randomize_portfolio have to be modified
> for additional constraints or  is it simple enough to apply the fnMap
> function at the end of the function to modify the portfolio that is
> returned?

Yes, we should be able to run it at the end of the function to modify 
the portfolio.

Doug is correct that the type of transformations I'm suggesting are 
properly called 'exterior point' methods.  There are a few papers on the 
topic, I'll try to review and see how many of them are relevant to what 
we need.

<...>
> [Ross] I added target volatility as a constraint based on the email from
> Peter Carl, but planned to implement it like an objective in
> constrained_objective. Is this ok or should I remove volatility as a
> constraint type?

I don't see volatility as a constraint, but rather as an objective, 
based on the distinction that I laid out before that a portfolio 
objective needs the returns of the assets to be calculated against.  I 
think for consistency that we should restrict 'constraints' to things 
that may be decided only on the weight vector, without needing to run 
calculations on the returns.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock