<html xmlns:v="urn:schemas-microsoft-com:vml" xmlns:o="urn:schemas-microsoft-com:office:office" xmlns:w="urn:schemas-microsoft-com:office:word" xmlns:m="http://schemas.microsoft.com/office/2004/12/omml" xmlns="http://www.w3.org/TR/REC-html40"><head><META HTTP-EQUIV="Content-Type" CONTENT="text/html; charset=us-ascii"><meta name=Generator content="Microsoft Word 14 (filtered medium)"><style><!--
/* Font Definitions */
@font-face
{font-family:Calibri;
panose-1:2 15 5 2 2 2 4 3 2 4;}
/* Style Definitions */
p.MsoNormal, li.MsoNormal, div.MsoNormal
{margin:0in;
margin-bottom:.0001pt;
font-size:11.0pt;
font-family:"Calibri","sans-serif";}
a:link, span.MsoHyperlink
{mso-style-priority:99;
color:blue;
text-decoration:underline;}
a:visited, span.MsoHyperlinkFollowed
{mso-style-priority:99;
color:purple;
text-decoration:underline;}
p.MsoPlainText, li.MsoPlainText, div.MsoPlainText
{mso-style-priority:99;
mso-style-link:"Plain Text Char";
margin:0in;
margin-bottom:.0001pt;
font-size:11.0pt;
font-family:"Calibri","sans-serif";}
span.PlainTextChar
{mso-style-name:"Plain Text Char";
mso-style-priority:99;
mso-style-link:"Plain Text";
font-family:"Calibri","sans-serif";}
.MsoChpDefault
{mso-style-type:export-only;
font-family:"Calibri","sans-serif";}
@page WordSection1
{size:8.5in 11.0in;
margin:1.0in 1.0in 1.0in 1.0in;}
div.WordSection1
{page:WordSection1;}
--></style><!--[if gte mso 9]><xml>
<o:shapedefaults v:ext="edit" spidmax="1026" />
</xml><![endif]--><!--[if gte mso 9]><xml>
<o:shapelayout v:ext="edit">
<o:idmap v:ext="edit" data="1" />
</o:shapelayout></xml><![endif]--></head><body lang=EN-US link=blue vlink=purple><div class=WordSection1><p class=MsoPlainText>Peter,<o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>While you have convexity with ETL, that would not hold with mETL due to presence of skewness and kurtosis of portfolio returns that depend upon the weights. I’ll have a look at the rest of this thread.<o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>Doug<o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>-----Original Message-----<br>From: gsoc-porta-bounces@lists.r-forge.r-project.org [mailto:gsoc-porta-bounces@lists.r-forge.r-project.org] On Behalf Of Peter Carl<br>Sent: Friday, October 04, 2013 11:49 AM<br>To: gsoc-porta@r-forge.wu-wien.ac.at<br>Subject: [GSoC-PortA] Mean-mETL objective?</p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>Hey Ross,<o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>I can't seem to get the Mean-mETL objective to select anything other than the Min mETL portfolio using ROI. It looks like there should be good convexity, but I think there's a substantial imbalance between the size of the monthly mean return and the loss indicated by the ETL. I've tried modifying the multiplier on the mean, but it doesn't seem to have an effect.<o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>Any thoughts?<o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>pcc<o:p></o:p></p><p class=MsoPlainText>--<o:p></o:p></p><p class=MsoPlainText>Peter Carl<o:p></o:p></p><p class=MsoPlainText><a href="http://www.braverock.com/peter"><span style='color:windowtext;text-decoration:none'>http://www.braverock.com/peter</span></a><o:p></o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText>_______________________________________________<o:p></o:p></p><p class=MsoPlainText>GSoC-PortA mailing list<o:p></o:p></p><p class=MsoPlainText><a href="mailto:GSoC-PortA@lists.r-forge.r-project.org"><span style='color:windowtext;text-decoration:none'>GSoC-PortA@lists.r-forge.r-project.org</span></a><o:p></o:p></p><p class=MsoPlainText><a href="http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta"><span style='color:windowtext;text-decoration:none'>http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta</span></a><o:p></o:p></p></div></body></html>