[GSoC-PortA] v1->v2 migration guide

[Ross Bennett]

Brian,

Thanks for the note. See my comments inline below.


On Fri, Aug 16, 2013 at 6:54 AM, Brian G. Peterson <brian at braverock.com>wrote:

> 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.
>
Are you looking for an example of how the user would go about doing this
manually or how this is done behind the scenes with the helper functions?
Or both?

>
> 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
>
I have been progressively adding to the portfolio_vignette file in the
sandbox folder. I am thinking this could serve as the primary vignette
because I have examples for creating the portfolio object, constraints, and
objectives. I still have work to do to improve the objectives section. I
can add a section that discusses the v1 to v2 migration.

I also think it would be helpful to have something similar to the
PerformanceAnalytics.pdf reference manual. Is the reference manual
automaticaly generated by .Rd files with roxygen. It would be good to have
both the reference manual and a vignette with complete examples.


> - put more detail in the documentation for those functions.  most of them
> are one-liners beyond the required @param info
>
I'll beef up the documentation for those functions.


> - 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.
>
Sounds good, I can rework several of the examples.


>
> What do you think?
>
> Cheers,
>
> Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
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