[GSoC-PortA] Finishing Touches to PortfolioAnalytics
Brian G. Peterson
brian at braverock.com
Mon Feb 24 20:16:04 CET 2014
I'm guessing the vignettes might just take too long for R-Forge. We
should ask them to see if they have any other data. I had no trouble
building it here from the command line and RStudio.
Brian
On 02/24/2014 11:23 AM, Ross Bennett wrote:
> All,
>
> PortfolioAnalytics is not building on R-forge and part of the error
> message is shown below.
>
> Error: processing vignette ‘risk_budget_optimization.Rnw’ failed with diagnostics:
> subscript out of bounds
> Execution halted
> Run time: 437.89 seconds.
>
> However, when I run R CMD Check, the R code in the vignettes runs
> successfully so I am not sure how to address this error or if there is
> something else I am missing. I also tried building the vignette in
> Rstudio with the 'compile pdf' button and it compiled successfully. For
> your reference, I am attaching the 00check.log file.
>
> Ross
>
>
>
> On Thu, Feb 20, 2014 at 10:48 AM, Doug Martin <martinrd at comcast.net
> <mailto:martinrd at comcast.net>> wrote:
>
> Got it and will take a look tomorrow or on the weekend.____
>
> __ __
>
> Thanks,____
>
> Doug____
>
> __ __
>
> __ __
>
> *From:*gsoc-porta-bounces at lists.r-forge.r-project.org
> <mailto:gsoc-porta-bounces at lists.r-forge.r-project.org>
> [mailto: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:* Thursday, February 20, 2014 11:27 AM
> *To:* PortfolioAnalytics
> *Subject:* Re: [GSoC-PortA] Finishing Touches to PortfolioAnalytics____
>
> __ __
>
> All,____
>
> __ __
>
> I am working on adding functionality to accept a list of portfolio
> objects for optimize.portfolio and optimize.portfolio.rebalancing.____
>
> __ __
>
> I added a block of code at the beginning of optimize.portfolio and
> optimize.portfolio.rebalancing to detect a list of portfolio objects
> and then loop through each portfolio in the list of portfolios and
> recursively call optimize.portfolio or
> optimize.portfolio.rebalancing. I have a return statement at the end
> of that block of code. Some frown upon multiple return statements in
> a function, is it ok that I do this here or is there a different
> approach I should follow.____
>
> __ __
>
> I also added demo/multiple_portfolio_optimization.R so you can test
> out the functionality.____
>
> __ __
>
> I just committed my changes with r3318.____
>
> __ __
>
> Ross____
>
> __ __
>
> __ __
>
> On Wed, Feb 5, 2014 at 6:54 AM, Ross Bennett
> <rossbennett34 at gmail.com <mailto:rossbennett34 at gmail.com>> wrote:____
>
> Makes a lot more sense from that perspective to avoid making
> optimize.portfolio and optimize.portfolio.rebalancing S3 generic
> methods. I'll proceed as you have outlined.____
>
> __ __
>
> Thanks for the clarification and guidance.____
>
> __ __
>
> Ross____
>
> __ __
>
> __ __
>
> On Tue, Feb 4, 2014 at 11:29 PM, Brian G. Peterson
> <brian at braverock.com <mailto:brian at braverock.com>> wrote:____
>
> On 02/02/2014 10:25 PM, Ross Bennett wrote:____
>
> Enhance the print and summary methods for
> optimize.portfolio.rebalancing. Currently, a list of____
>
> optimize.portfolio objects at each rebalance period is
> returned.____
>
> */[Doug] So does that imply one can now input a list of
> portfolio____
>
>
> optimization strategy objects to
> “optimize.portfolio.rebalancing”,
> e.g., each with different constraints and different
> objectives?____
>
> (this would be very useful)/*____
>
>
>
>
> No, that is currently not possible, but should not be too hard to
> implement. I could do this for optimize.portfolio as well. I
> think the
> most robust way to implement this would be to make
> optimize.portfolio()
> and optimize.portfolio.rebalancing() generic methods.
>
> This would require a few minor design changes and I don't think
> it would
> break backwards compatibility. We would have to change the order of
> arguments for optimize.portfolio() and
> optimize.portfolio.rebalancing()
> so that 'portfolio' is the first argument, currently 'R' is the
> first
> argument.____
>
>
> I think the desired functionality (take a list of portfolio objects)
> is a good idea.
>
> I don't think relying on S3 dispatch and making optimize.portfolio.*
> into S3 generics makes sense though.
>
> I say this because there's far too much shared code. The
> sub-functions for the different optimizer methods and special cases
> are far less code than the wrapper/framework function. I wouldn't
> want to duplicate all that code, or add a bunch of extra function
> calls in code that's called lots and lots of times.
>
> Also, I *really* hate breaking backwards compatibility by
> rearranging arguments unless there's a compelling reason. For R
> generics like print/plot/summary, using S3 dispatch is the obvious
> and only answer, but for optimize.portfolio.*, I'd say leaving the
> arguments list alone makes the most sense.
>
> I think you could add the loop over portfolio specification list
> elements (if it is a list) and collection of the results into a list
> of optimization results into the optimize.portfolio.* functions
> without too much work, and without breaking existing code.
>
> Regards,
>
> Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973 <tel:773-459-4973>
> IM: bgpbraverock____
>
>
> _______________________________________________
> GSoC-PortA mailing list
> GSoC-PortA at lists.r-forge.r-project.org
> <mailto:GSoC-PortA at lists.r-forge.r-project.org>
> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta____
>
> __ __
>
> __ __
>
>
> _______________________________________________
> GSoC-PortA mailing list
> GSoC-PortA at lists.r-forge.r-project.org
> <mailto:GSoC-PortA at lists.r-forge.r-project.org>
> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta
>
>
>
>
> _______________________________________________
> 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
>
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
More information about the GSoC-PortA
mailing list