[GSoC-PortA] Odd Behavior Depending on Order of Objectives

Ross Bennett rossbennett34 at gmail.com
Mon Sep 23 16:32:48 CEST 2013


All,

After running Peter's script in the sandbox/symposium2013, I noticed that
portfolio component ES and component StdDev were not being returned in the
$objective_measures slot.

I did some testing and it appears that if a "risk" objective is added after
a "risk_budget" objective with the same name (e.g. "ES" or "StdDev"), the
portfolio component contribution is not returned. This seems odd to me
because constrained_objective loops through the objectives and calculates
each one separately.

I attached an example script to demonstrate this.

Any thoughts on what is going on here?

Thanks,
Ross
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20130923/87948c3b/attachment.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: objective_order.R
Type: application/octet-stream
Size: 1145 bytes
Desc: not available
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20130923/87948c3b/attachment.obj>


More information about the GSoC-PortA mailing list