[GSoC-PortA] Turnover Constraints Example

[Doug Martin]

Please see slides 7-10 of the attached slide deck, which are obtained with
the code in the zip file.

I note that using toc = 0 gives an inconsistent constraints message, but
this could be easily fixed in the

efficient frontier code to just return the portfolio with the initial
weights.  Ross you have already run this code

for a homework problem.

 

Next I will get an issue straightened out in the proportional costs code and
efficient frontier calculation

and send examples working properly.

 

Doug

 

 

From: gsoc-porta-bounces at lists.r-forge.r-project.org
[mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Ross
Bennett
Sent: Monday, July 01, 2013 1:47 PM
To: PortfolioAnalytics
Subject: Re: [GSoC-PortA] other testing scripts

 

Brian,

 

Thanks for the feedback. The data file was used by Doug in a portfolio
optimization course to test the results of his slides/material with
PortfolioAnalytics. 

 

Doug, does it make sense (or possible depending on the data vendor) to
include the crsp.short.Rdata file with the PortfolioAnalytics package?

 

Ross

On Mon, Jul 1, 2013 at 3:24 PM, Brian G. Peterson <brian at braverock.com>
wrote:

I just finished running through the other testing scripts from the sandbox.

I was able to run all of them except for 'testing_ROI_Martin.R' for which I
don't have the data.

My other tests of objectives and constraints also seem to make sense.

Looks good so far.

Regards,

Brian

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