[GSoC-PortA] Problem with ROI solvers?

[Peter Carl]

I hit a bump in the road a couple of days ago when I looked at the two
attached charts.  One shows the mean-ETL of a set of different objectives
against a cloud of random portfolios.  The objectives that can be are
calculated through ROI; I used RP for most of the others and DE for the
risk budget objective.

Note that the cloud of RP portfolios shows portfolios with lower mETL than
the indicated MinmETL portfolio.  Well, maybe the mETL space isn't convex?
 Turns out, you can see the same issue in the attached mean-SD space with
the minSD portfolio.

I went back and re-calculated the RP portfolios to eliminate the wiggle we
usually give the boundaries (a two percent leeway to speed up portfolio
generation) reasoning that those might be the issue.  I generated 10K
RP's, of which about 3K summed exactly to 1.0 (which is plenty).  So I
know that it isn't that those portfolios are out of bounds relative to the
constraints objects.

I've tried to make sure that every objective is using the same
constraints, and I've double-checked my post processing to make sure I
wasn't damaging the output from the optimization runs to get things into
charts.

This suggests to me that it's a deeper problem, although there still just
might be an issue in my code somewhere.
-- 
Peter Carl
http://www.braverock.com/peter
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