From rossbennett34 at gmail.com Tue Aug 12 13:05:19 2014 From: rossbennett34 at gmail.com (Ross Bennett) Date: Tue, 12 Aug 2014 06:05:19 -0500 Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review Message-ID: All, I am down to the final week of GSoC 2014 and my focus is on improving the documentation and vignettes. Attached is the most recent manual as well as a new vignette describing how to implement custom moment and custom objective functions. If you have the time to review these documents, I would greatly appreciate any comments and feedback . Thanks, Ross -------------- next part -------------- An HTML attachment was scrubbed... URL: -------------- next part -------------- A non-text attachment was scrubbed... Name: PortfolioAnalytics-manual.pdf Type: application/pdf Size: 373060 bytes Desc: not available URL: -------------- next part -------------- A non-text attachment was scrubbed... Name: custom_moments_objectives.pdf Type: application/pdf Size: 351677 bytes Desc: not available URL: From martinrd at comcast.net Wed Aug 13 19:44:44 2014 From: martinrd at comcast.net (Doug Martin) Date: Wed, 13 Aug 2014 10:44:44 -0700 Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review In-Reply-To: References: Message-ID: <004401cfb71e$49748a70$dc5d9f50$@comcast.net> Ross, Got it, thanks. Will have a look in the next few days. What is the status of the proportional costs constraint? I was not getting what I thought seemed reasonable results for a single optimization, but I could be wrong. It would be good to see if Kirk?s implementation example for an efficient frontier with proportional cost constraints can be replicated in PortfolioAnalaytics. Doug From: gsoc-porta-bounces at lists.r-forge.r-project.org [mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Ross Bennett Sent: Tuesday, August 12, 2014 4:05 AM To: PortfolioAnalytics Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review All, I am down to the final week of GSoC 2014 and my focus is on improving the documentation and vignettes. Attached is the most recent manual as well as a new vignette describing how to implement custom moment and custom objective functions. If you have the time to review these documents, I would greatly appreciate any comments and feedback . Thanks, Ross -------------- next part -------------- An HTML attachment was scrubbed... URL: From rossbennett34 at gmail.com Thu Aug 14 03:40:19 2014 From: rossbennett34 at gmail.com (Ross Bennett) Date: Wed, 13 Aug 2014 20:40:19 -0500 Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review In-Reply-To: <004401cfb71e$49748a70$dc5d9f50$@comcast.net> References: <004401cfb71e$49748a70$dc5d9f50$@comcast.net> Message-ID: Doug, Do you have the R script of Kirk's implementation you can send me? I'll run his code and compare to see if we get the same results. Ross On Wed, Aug 13, 2014 at 12:44 PM, Doug Martin wrote: > Ross, > > > > Got it, thanks. Will have a look in the next few days. > > > > What is the status of the proportional costs constraint? I was not > getting what I thought seemed reasonable results for a single optimization, > but I could be wrong. It would be good to see if Kirk?s implementation > example for an efficient frontier with proportional cost constraints can be > replicated in PortfolioAnalaytics. > > > > Doug > > > > > > *From:* gsoc-porta-bounces at lists.r-forge.r-project.org [mailto: > gsoc-porta-bounces at lists.r-forge.r-project.org] *On Behalf Of *Ross > Bennett > *Sent:* Tuesday, August 12, 2014 4:05 AM > *To:* PortfolioAnalytics > *Subject:* [GSoC-PortA] PortfolioAnalytics Documentation Review > > > > All, > > > > I am down to the final week of GSoC 2014 and my focus is on improving the > documentation and vignettes. Attached is the most recent manual as well as > a new vignette describing how to implement custom moment and custom > objective functions. > > > > If you have the time to review these documents, I would greatly appreciate > any comments and feedback . > > > > Thanks, > > Ross > > _______________________________________________ > GSoC-PortA mailing list > GSoC-PortA at lists.r-forge.r-project.org > http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta > > -------------- next part -------------- An HTML attachment was scrubbed... URL: From martinrd at comcast.net Thu Aug 14 04:33:02 2014 From: martinrd at comcast.net (Doug Martin) Date: Wed, 13 Aug 2014 19:33:02 -0700 Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review In-Reply-To: References: <004401cfb71e$49748a70$dc5d9f50$@comcast.net> Message-ID: <014801cfb768$1ba9ac20$52fd0460$@comcast.net> Ross, I just talked with Kirk. He needs to make a small fix to the code so that the efficient frontier for this case starts at the mean risk point (0,0). It was originally one of the ways it was done, but not in the most recent version. He may get a chance to look at it and fix tonight. Else he will be on the road until Sunday and get to it then. I have cc?d Kirk so the two of you can be in touch. Doug From: gsoc-porta-bounces at lists.r-forge.r-project.org [mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Ross Bennett Sent: Wednesday, August 13, 2014 6:40 PM To: PortfolioAnalytics Subject: Re: [GSoC-PortA] PortfolioAnalytics Documentation Review Doug, Do you have the R script of Kirk's implementation you can send me? I'll run his code and compare to see if we get the same results. Ross On Wed, Aug 13, 2014 at 12:44 PM, Doug Martin wrote: Ross, Got it, thanks. Will have a look in the next few days. What is the status of the proportional costs constraint? I was not getting what I thought seemed reasonable results for a single optimization, but I could be wrong. It would be good to see if Kirk?s implementation example for an efficient frontier with proportional cost constraints can be replicated in PortfolioAnalaytics. Doug From: gsoc-porta-bounces at lists.r-forge.r-project.org [mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Ross Bennett Sent: Tuesday, August 12, 2014 4:05 AM To: PortfolioAnalytics Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review All, I am down to the final week of GSoC 2014 and my focus is on improving the documentation and vignettes. Attached is the most recent manual as well as a new vignette describing how to implement custom moment and custom objective functions. If you have the time to review these documents, I would greatly appreciate any comments and feedback . Thanks, Ross _______________________________________________ GSoC-PortA mailing list GSoC-PortA at lists.r-forge.r-project.org http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta -------------- next part -------------- An HTML attachment was scrubbed... URL: From martinrd at comcast.net Fri Aug 15 00:15:57 2014 From: martinrd at comcast.net (Doug Martin) Date: Thu, 14 Aug 2014 15:15:57 -0700 Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review In-Reply-To: References: <004401cfb71e$49748a70$dc5d9f50$@comcast.net> <014801cfb768$1ba9ac20$52fd0460$@comcast.net> Message-ID: <006b01cfb80d$597f8a10$0c7e9e30$@comcast.net> Thanks. Ross and I can run the code, and get the tutorial later. Doug From: cocokecoli at gmail.com [mailto:cocokecoli at gmail.com] On Behalf Of Kirk Li Sent: Thursday, August 14, 2014 10:00 AM To: Doug Martin Cc: PortfolioAnalytics; Ke Li Subject: Re: [GSoC-PortA] PortfolioAnalytics Documentation Review Hi, Doug and Ross, ?I changed the min mu to be 0 (in efront.constrained.r) for models with propcost . However I am using a hotel's desktop and cannot compile rmd file to update tutorial pdf. I have attached the new zipped file. Best Ke Li (Kirk) On Wed, Aug 13, 2014 at 6:33 PM, Doug Martin wrote: Ross, I just talked with Kirk. He needs to make a small fix to the code so that the efficient frontier for this case starts at the mean risk point (0,0). It was originally one of the ways it was done, but not in the most recent version. He may get a chance to look at it and fix tonight. Else he will be on the road until Sunday and get to it then. I have cc?d Kirk so the two of you can be in touch. Doug From: gsoc-porta-bounces at lists.r-forge.r-project.org [mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Ross Bennett Sent: Wednesday, August 13, 2014 6:40 PM To: PortfolioAnalytics Subject: Re: [GSoC-PortA] PortfolioAnalytics Documentation Review Doug, Do you have the R script of Kirk's implementation you can send me? I'll run his code and compare to see if we get the same results. Ross On Wed, Aug 13, 2014 at 12:44 PM, Doug Martin wrote: Ross, Got it, thanks. Will have a look in the next few days. What is the status of the proportional costs constraint? I was not getting what I thought seemed reasonable results for a single optimization, but I could be wrong. It would be good to see if Kirk?s implementation example for an efficient frontier with proportional cost constraints can be replicated in PortfolioAnalaytics. Doug From: gsoc-porta-bounces at lists.r-forge.r-project.org [mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Ross Bennett Sent: Tuesday, August 12, 2014 4:05 AM To: PortfolioAnalytics Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review All, I am down to the final week of GSoC 2014 and my focus is on improving the documentation and vignettes. Attached is the most recent manual as well as a new vignette describing how to implement custom moment and custom objective functions. If you have the time to review these documents, I would greatly appreciate any comments and feedback . Thanks, Ross _______________________________________________ GSoC-PortA mailing list GSoC-PortA at lists.r-forge.r-project.org http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta -------------- next part -------------- An HTML attachment was scrubbed... URL: From kirkli at uw.edu Thu Aug 14 19:00:11 2014 From: kirkli at uw.edu (Kirk Li) Date: Thu, 14 Aug 2014 09:00:11 -0800 Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review In-Reply-To: <014801cfb768$1ba9ac20$52fd0460$@comcast.net> References: <004401cfb71e$49748a70$dc5d9f50$@comcast.net> <014801cfb768$1ba9ac20$52fd0460$@comcast.net> Message-ID: Hi, Doug and Ross, ?I changed the min mu to be 0 (in efront.constrained.r) for models with propcost . However I am using a hotel's desktop and cannot compile rmd file to update tutorial pdf. I have attached the new zipped file. Best Ke Li (Kirk) On Wed, Aug 13, 2014 at 6:33 PM, Doug Martin wrote: > Ross, > > > > I just talked with Kirk. He needs to make a small fix to the code so that > the efficient frontier for this case starts at the mean risk point (0,0). > It was originally one of the ways it was done, but not in the most recent > version. He may get a chance to look at it and fix tonight. Else he will > be on the road until Sunday and get to it then. I have cc?d Kirk so the > two of you can be in touch. > > > > Doug > > > > > > > > *From:* gsoc-porta-bounces at lists.r-forge.r-project.org [mailto: > gsoc-porta-bounces at lists.r-forge.r-project.org] *On Behalf Of *Ross > Bennett > *Sent:* Wednesday, August 13, 2014 6:40 PM > *To:* PortfolioAnalytics > *Subject:* Re: [GSoC-PortA] PortfolioAnalytics Documentation Review > > > > Doug, > > > > Do you have the R script of Kirk's implementation you can send me? I'll > run his code and compare to see if we get the same results. > > > > Ross > > > > > > On Wed, Aug 13, 2014 at 12:44 PM, Doug Martin > wrote: > > Ross, > > > > Got it, thanks. Will have a look in the next few days. > > > > What is the status of the proportional costs constraint? I was not > getting what I thought seemed reasonable results for a single optimization, > but I could be wrong. It would be good to see if Kirk?s implementation > example for an efficient frontier with proportional cost constraints can be > replicated in PortfolioAnalaytics. > > > > Doug > > > > > > *From:* gsoc-porta-bounces at lists.r-forge.r-project.org [mailto: > gsoc-porta-bounces at lists.r-forge.r-project.org] *On Behalf Of *Ross > Bennett > *Sent:* Tuesday, August 12, 2014 4:05 AM > *To:* PortfolioAnalytics > *Subject:* [GSoC-PortA] PortfolioAnalytics Documentation Review > > > > All, > > > > I am down to the final week of GSoC 2014 and my focus is on improving the > documentation and vignettes. Attached is the most recent manual as well as > a new vignette describing how to implement custom moment and custom > objective functions. > > > > If you have the time to review these documents, I would greatly appreciate > any comments and feedback . > > > > Thanks, > > Ross > > > _______________________________________________ > GSoC-PortA mailing list > GSoC-PortA at lists.r-forge.r-project.org > http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta > > > -------------- next part -------------- An HTML attachment was scrubbed... URL: -------------- next part -------------- A non-text attachment was scrubbed... Name: MVO_0815.zip Type: application/zip Size: 343053 bytes Desc: not available URL: