[GSoC-PortA] v1->v2 migration guide

[Brian G. Peterson]

Ross,

You continue to make good functional progress.  By all means keep it up!

I'd like to talk about a 'migration guide' from v1 to v2 objects.

Many real-world portfolio optimization problems we've seen are quite 
complex.  They typically involve multiple different benchmark 
optimizations along with one or more different target object 
constructions, to be employed based on the portfolio manager's views, or 
based on market regime.

Good examples of this approach can be seen in our 2012 seminar slides 
and scipt, which you're familiar with, or in something like the EDHEC 
Smart Beta project.

What I'd like your thoughts on is developing an example of converting a 
v1 constraints specification of any reasonable complexity to a v2 
portfolio specification.  I know you have some helper functions for 
doing that, but the documentation is still rather sparse.

My thoughts run along these lines:
- generate a basic PortfolioAnalytics-package.Rd file either manually or 
via roxygen comments that will describe the structure of the portfolio 
specification, constraints, and objectives, with links to the relevant 
functions.  maybe condense soeme generic text from the optimization 
overview vignette

- put more detail in the documentation for those functions.  most of 
them are one-liners beyond the required @param info

- perhaps take a look at the 2012 seminar script, and rework one or more 
of those portfolios for discussion on this list, with notes that we can 
add back into the documentation somewhere.

What do you think?

Cheers,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock