See comments below<br><br><div class="gmail_quote">On Mon, Jun 24, 2013 at 10:27 AM, Doug Martin <span dir="ltr"><<a href="mailto:martinrd@comcast.net" target="_blank">martinrd@comcast.net</a>></span> wrote:<br><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex">
<div lang="EN-US" link="blue" vlink="purple"><div><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><b><span style="font-size:10.0pt;font-family:"Tahoma","sans-serif"">From:</span></b><span style="font-size:10.0pt;font-family:"Tahoma","sans-serif""> <a href="mailto:gsoc-porta-bounces@lists.r-forge.r-project.org" target="_blank">gsoc-porta-bounces@lists.r-forge.r-project.org</a> [mailto:<a href="mailto:gsoc-porta-bounces@lists.r-forge.r-project.org" target="_blank">gsoc-porta-bounces@lists.r-forge.r-project.org</a>] <b>On Behalf Of </b>Ross Bennett<br>
<b>Sent:</b> Monday, June 24, 2013 7:02 AM<br><b>To:</b> PortfolioAnalytics<br><b>Subject:</b> [GSoC-PortA] Question on quadratic constraint specification<u></u><u></u></span></p><p class="MsoNormal"><u></u> <u></u></p><p class="MsoNormal">
Hi All,<u></u><u></u></p><div><p class="MsoNormal"><u></u> <u></u></p></div><div><div class="im"><p class="MsoNormal">I have a quick question on quadratic constraint specification. One of the bullet points under constraints is "provide quadratic constraint specification". I did some digging for the ROI solvers and found that quadprog and glpk only handle linear constraints. The ROI plugin for cplex can handle a quadratic constraint, but this is a commercial product so I am not sure if we want to go down that road and add support for the cplex plugin for optimize_method="ROI". Are there workarounds to handle quadratic constraints in quadprog or glpk?<u></u><u></u></p>
</div><p class="MsoNormal"><b><i><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">[Doug] I have thought very about the desirability of a chapter on cplex in view of the extensive use of the product. But there is so much else to do that this probably won’t happen this go around</span></i></b></p>
</div></div></div></blockquote><div>[Ross] It looks like the IBM CPLEX suite is free for academic use. I might be able to work on this in the fall after GSOC is complete.</div><div><br></div><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex">
<div lang="EN-US" link="blue" vlink="purple"><div><div><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u><u></u></span></p></div><div><p class="MsoNormal">
<u></u> <u></u></p></div><div><div class="im"><p class="MsoNormal">Is the intent of providing quadratic constraint specification to allow the user to specify or define any function?<u></u><u></u></p></div><p class="MsoNormal">
<b><i><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">[Doug] A generic quadratic constraint capability would be ideal. But just adding the two you list below would be a good first step. With regard to the second below, I note that Jorion showed that adding an absolute volatility risk constraint to TEV portfolios improves their performance.</span></i></b></p>
</div></div></div></blockquote><div>[Ross] Sounds good, I'll work on adding constraint types for diversification and volatility.</div><div><br></div><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex">
<div lang="EN-US" link="blue" vlink="purple"><div><div><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u><u></u></span></p></div><div class="im">
<div><p class="MsoNormal"><u></u> <u></u></p></div><div><p class="MsoNormal">Or should we limit it to pre-defined constraint types and functions that I can add?<u></u><u></u></p></div><div><p class="MsoNormal"><u></u> <u></u></p>
</div><div><p class="MsoNormal">A couple use cases for a quadratic constraint that I thought of are:<u></u><u></u></p></div><div><p class="MsoNormal">- Diversification (Allows the user to specify a diversification limit as a constraint).<u></u><u></u></p>
</div><div><p class="MsoNormal">- Volatility (Allows the user to specify a target volatility (or min or max) as a constraint. (e.g. see Peter Carl's email with a portfolio specific limit to target volatility of > 10%)<u></u><u></u></p>
</div><div><p class="MsoNormal">- Other use cases for quadratic constraints?<u></u><u></u></p></div><div><p class="MsoNormal"><u></u> <u></u></p></div><div><p class="MsoNormal">I can add constraint functions for diversification, volatility, etc. and then this could be implemented in constrained_objective or with the mapping function that I will work on in the next section.<u></u><u></u></p>
</div><div><p class="MsoNormal"><u></u> <u></u></p></div><div><p class="MsoNormal">Thanks,<u></u><u></u></p></div><div><p class="MsoNormal">Ross Bennett<u></u><u></u></p></div></div></div></div><br>_______________________________________________<br>
GSoC-PortA mailing list<br>
<a href="mailto:GSoC-PortA@lists.r-forge.r-project.org">GSoC-PortA@lists.r-forge.r-project.org</a><br>
<a href="http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta" target="_blank">http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta</a><br>
<br></blockquote></div><br>