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</o:shapelayout></xml><![endif]--></head><body lang=EN-US link=blue vlink=purple><div class=WordSection1><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></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"'> gsoc-porta-bounces@lists.r-forge.r-project.org [mailto:gsoc-porta-bounces@lists.r-forge.r-project.org] <b>On Behalf Of </b>Ross Bennett<br><b>Sent:</b> Friday, October 04, 2013 12:43 PM<br><b>To:</b> PortfolioAnalytics<br><b>Subject:</b> Re: [GSoC-PortA] Mean-mETL objective?<o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p><div><p class=MsoNormal>Peter,<o:p></o:p></p><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Unfortunately, with ROI we are only able to minimize ETL with ETL as an objective. If you have mean and ETL as an objective using ROI, unless there is a target in the mean return objective, we just minimize ETL. If you have both mean and ETL as objectives, you could add a target to the mean objective and this will minimize ETL subject to the target return. <o:p></o:p></p><p class=MsoNormal><b><i><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'>[Doug] That is unfortunate.</span></i></b><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p></o:p></span></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>We can do the following with ETL as an objective using ROI:<o:p></o:p></p></div><div><p class=MsoNormal> - Minimize ETL subject to leverage, box, group, exposure, position limit, and target return.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Multipliers are ignored with ROI since the problems are formulated into an LP/QP problem.<span style='color:#1F497D'><o:p></o:p></span></p><p class=MsoNormal><b><i><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'>[Doug] Ditto on my comment above. There is no problem to use solve.QP directly in the quadratic utility (QU) formulation of the problem (as well as the MinVar formulation). Should be the same for Rglpk. So we are inheriting a limitation of ROI not of the solvers themselves.<o:p></o:p></span></i></b></p><p class=MsoNormal><b><i><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></i></b></p><p class=MsoNormal> I'll take a look at the documentation in optimize.portfolio and make sure this is clear.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>I hope that helps clear it up.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Ross<o:p></o:p></p></div></div><div><p class=MsoNormal style='margin-bottom:12.0pt'><o:p> </o:p></p><div><p class=MsoNormal>On Fri, Oct 4, 2013 at 11:49 AM, Peter Carl <<a href="mailto:peter@braverock.com" target="_blank">peter@braverock.com</a>> wrote:<o:p></o:p></p><p class=MsoNormal>Hey Ross,<br><br>I can't seem to get the Mean-mETL objective to select anything other than<br>the Min mETL portfolio using ROI. It looks like there should be good<br>convexity, but I think there's a substantial imbalance between the size of<br>the monthly mean return and the loss indicated by the ETL. I've tried<br>modifying the multiplier on the mean, but it doesn't seem to have an<br>effect.<br><br>Any thoughts?<br><br>pcc<br><span class=hoenzb><span style='color:#888888'>--</span></span><span style='color:#888888'><br><span class=hoenzb>Peter Carl</span><br><span class=hoenzb><a href="http://www.braverock.com/peter" target="_blank">http://www.braverock.com/peter</a></span><br><br><br><br><span class=hoenzb>_______________________________________________</span><br><span class=hoenzb>GSoC-PortA mailing list</span><br><span class=hoenzb><a href="mailto:GSoC-PortA@lists.r-forge.r-project.org">GSoC-PortA@lists.r-forge.r-project.org</a></span><br><span class=hoenzb><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></span></span><o:p></o:p></p></div><p class=MsoNormal><o:p> </o:p></p></div></div></body></html>