From rossbennett34 at gmail.com Wed Jul 2 13:16:15 2014 From: rossbennett34 at gmail.com (Ross Bennett) Date: Wed, 2 Jul 2014 06:16:15 -0500 Subject: [GSoC-PortA] A Couple of Questions In-Reply-To: <006501cf9588$be0c4600$3a24d200$@comcast.net> References: <006501cf9588$be0c4600$3a24d200$@comcast.net> Message-ID: Hi Doug, Chicago is great. It is absolutely fascinating sitting on the trading desk with Brian and his team and I am really enjoying it. You should still be on the PortfolioAnalytics < gsoc-porta at lists.r-forge.r-project.org> list, though there hasn't been much communication on it. Are you on the return analytics commits list? You get an email with the diff of each commit. Ross On Tue, Jul 1, 2014 at 7:01 PM, Doug Martin wrote: > Ross, > > > > How is it going in Chicago? > > > > Can you include me on any email list for the GSoC PortfolioAnalytics > project? > > I thought I had signed up as a mentor, but maybe not? > > > > Best, > > Doug > > > > > -------------- next part -------------- An HTML attachment was scrubbed... URL: From rossbennett34 at gmail.com Thu Jul 3 12:34:05 2014 From: rossbennett34 at gmail.com (Ross Bennett) Date: Thu, 3 Jul 2014 05:34:05 -0500 Subject: [GSoC-PortA] Progress Update Message-ID: All, Here is a brief update of my progress to date. Factor Model Moment Estimates Estimating the covariance, coskewness, and cokurtosis matrices based on a statistical factor model as described in K. Boudt, W. Lu, B. Peeters, "Asset Allocation with Higher Order Moments and Factors Models" has been implemented. See demo/higher_moments_boudt.R Rank Based Optimization Portfolio Optimization based on the Almgren and Chriss paper has been implemented. Expressing views on the relative ranking of assets using Meucci's Fully Flexible Views framework has been implemented. See demo/relative_ranking.R Multilayer Optimization Support for optimization with a main portfolio and layer of sub-portfolios has been added. See demo/multi_layer_optimization.R Support Bayesian Optimization Support for Meucci's Fully Flexible Views framework has been implemented. I have also added support for a basic Black-Litterman model. See demo/meucci_ffv.R Regime Switching Models A general framework for specifying a regime and different portfolios for each regime has been implemented. See demo/regime_switching.R TODO Add support for supervised learning solvers Vignette on custom moments and custom objective functions Reformat/revise demos to compile as Rstudio notebooks Let me know if there are any questions. Regards, Ross -------------- next part -------------- An HTML attachment was scrubbed... URL: From rossbennett34 at gmail.com Fri Jul 25 18:59:19 2014 From: rossbennett34 at gmail.com (Ross Bennett) Date: Fri, 25 Jul 2014 11:59:19 -0500 Subject: [GSoC-PortA] Call Today Message-ID: Brian, Doug, Guy, Peter, and Eric, I just wanted to confirm that we are having a call (assuming we will use Google Hangouts) today at 1 PM CDT / 11 AM PDT. Please confirm. Thanks, Ross -------------- next part -------------- An HTML attachment was scrubbed... URL: From martinrd at comcast.net Fri Jul 25 19:08:35 2014 From: martinrd at comcast.net (Doug Martin) Date: Fri, 25 Jul 2014 10:08:35 -0700 Subject: [GSoC-PortA] Call Today In-Reply-To: References: Message-ID: <004e01cfa82b$16f7ea80$44e7bf80$@comcast.net> Sure. 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: Friday, July 25, 2014 9:59 AM To: PortfolioAnalytics; Eric Zivot Subject: [GSoC-PortA] Call Today Brian, Doug, Guy, Peter, and Eric, I just wanted to confirm that we are having a call (assuming we will use Google Hangouts) today at 1 PM CDT / 11 AM PDT. Please confirm. Thanks, Ross -------------- next part -------------- An HTML attachment was scrubbed... URL: From rossbennett34 at gmail.com Fri Jul 25 21:02:09 2014 From: rossbennett34 at gmail.com (Ross Bennett) Date: Fri, 25 Jul 2014 14:02:09 -0500 Subject: [GSoC-PortA] Call Today In-Reply-To: <001801cfa82b$be0a4d40$3a1ee7c0$@washington.edu> References: <001801cfa82b$be0a4d40$3a1ee7c0$@washington.edu> Message-ID: My apologies for my poor connection on the call today. I was able to hear most of the conversation, but I know you all were having trouble hearing me. The main point was that as you have questions about how to do things for specific use cases or lack of documentation, just send an email and I will be glad to take care of it. One of the concerns that Eric brought up was the lack of documentation for custom moments and custom objective functions. We know this is an area of concern, and I plan on writing a vignette to cover this. I am going to use examples from my R/Finance presentation and can include any use cases or examples you would like to see. Best, Ross On Fri, Jul 25, 2014 at 12:13 PM, Eric Zivot wrote: > Works for me > > > > *From:* Ross Bennett [mailto:rossbennett34 at gmail.com] > *Sent:* Friday, July 25, 2014 9:59 AM > *To:* PortfolioAnalytics; Eric Zivot > *Subject:* Call Today > > > > Brian, Doug, Guy, Peter, and Eric, > > I just wanted to confirm that we are having a call (assuming we will use > Google Hangouts) today at 1 PM CDT / 11 AM PDT. > > Please confirm. > > Thanks, > Ross > -------------- next part -------------- An HTML attachment was scrubbed... URL: