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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'>Ross,<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'>Good to see. Main thing from my perspective is that I need to check my chapter 2 with the current version and see if I missed implementing my current examples with the “to be released” version of PortfolioAnalytics, and finishing off a couple more examples. I will do this during the coming week. <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'>Other comments below.<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'>Doug<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> Sunday, February 02, 2014 12:44 PM<br><b>To:</b> PortfolioAnalytics<br><b>Subject:</b> [GSoC-PortA] Finishing Touches to PortfolioAnalytics<o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p><div><div><p class=MsoNormal>All,<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>To put the finishing touches on PortfolioAnalytics, I propose the following items.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><p class=MsoNormal>Enhance the print and summary methods for optimize.portfolio.rebalancing. Currently, a list of optimize.portfolio objects at each rebalance period is returned.<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] 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)<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'd like to change this to also return the R object so that I can do more with a summary method such as calculating the portfolio rebalanced returns, annualized return, risk measures, etc.<o:p></o:p></p><p class=MsoNormal><b><i><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'>[Doug] I guess there is the question of how much in the way of performance analysis gets done with a summary method, as compared with using PerformanceAnalytics on the result of optimize.portfolio.rebalancing.</span></i></b><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p></o:p></span></p><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Add function to generalize the plot from Peter's presentation. See attached image.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Address all warnings in R CMD Check<o:p></o:p></p></div><div><p class=MsoNormal>I just ran R CMD Check using Rstudio and the only warning I received was the following:<o:p></o:p></p></div><div><div><p class=MsoNormal>* checking package vignettes in ‘inst/doc’ ... WARNING<o:p></o:p></p></div><div><p class=MsoNormal>Package vignettes without corresponding PDF/HTML:<o:p></o:p></p></div><div><p class=MsoNormal> ‘DesignThoughts.Rnw’<o:p></o:p></p></div><div><p class=MsoNormal> ‘ROI_vignette.Rnw’<o:p></o:p></p></div><div><p class=MsoNormal> ‘portfolio_vignette.Rnw’<o:p></o:p></p></div><div><p class=MsoNormal> ‘risk_budget_optimization.Rnw’<o:p></o:p></p></div></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>We don't have anything in inst/doc as all our vignette files (.Rnw and .pdf) are in the vignettes directory. How do I handle this warning.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Final review of documentation.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>I am just getting started playing around with the Bloomberg Portfolio Analysis module to see if there is anything we can borrow from there.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Is there anything else that I need to consider?<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><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>P.S. Go Seahawks!<o:p></o:p></p></div></div></div></body></html>