[GSoC-PortA] Problem with ROI solvers?

[Peter Carl]

I think I might have found the issue.  In the RP solvers, I was using
clean="boudt", but wasn't passing in anything into the ROI solvers.  That
would be a big difference...

I'll confirm that is the issue later, and come back if it wasn't.

Thanks for listening.

pcc
-- 
Peter Carl
http://www.braverock.com/peter

> Whoops, I hit "send" too early.
>
> That's the gist of the message, though.  I'll check in all my recent
> changes and the RP result so that you can reproduce these results.  Let me
> know if you have any other ideas or see issues in how I've laid out the
> constraint objects.
>
> Thanks in advance,
>
> pcc
> --
> Peter Carl
> http://www.braverock.com/peter
>
> 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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