[GSoC-PortA] add.constraint and optimize.portfolio_v2

[Ross Bennett]

On Tue, Jul 16, 2013 at 7:01 PM, Doug Martin <martinrd at comcast.net> wrote:

> The code in testing_ROI_Martin new.R all seems to work.  So I am putting
> together all the examples for a section in Chapter 2, hopefully finish by
> tomorrow.  But here is a tiny usability improvement needed in the first
> example with the new interface.  The following works fine:****
>
> ** **
>
> pspec <- portfolio.spec(assets=funds)****
>
> pspec <- add.constraint(portfolio=pspec, type="full_investment",
> enabled=TRUE)****
>
> pspec <- add.constraint(portfolio=pspec, type="box", min=-Inf, max=Inf,
> enabled=TRUE)****
>
> pspec <- add.objective_v2(portfolio=pspec, type="risk", name="var",
> enabled=TRUE)****
>
> ** **
>
> However, I had expected that the following would also work  fine, but does
> not:****
>
> ** **
>
> pspec <- portfolio.spec(assets=funds)****
>
> pspec <- add.constraint(portfolio=pspec, type="full_investment",
> enabled=TRUE)****
>
> pspec <- add.objective_v2(portfolio=pspec, type="risk", name="var",
> enabled=TRUE)****
>
> ** **
>
> opt <- optimize.portfolio_v2(R=returns, portfolio=pspec,
> optimize_method="ROI")****
>
> Error in get_constraints(portfolio) : ****
>
>   Box constraints min and max are not enabled or passed in****
>
> ** **
>
> There should be default argument values for box, min and max if not
> provided, i.e., if box is not provided and group constraints are not
> provided, it should assume an unconstrained portfolio except for the full
> investment constraint.****
>
> **
>
I just committed a revision (r2583) that fixes this and sets default values
if leverage and box constraints are not specified. The default is set to
full investment constraint (min_sum=1 and max_sum=1) if leverage
constraints are not specified. The default is set to infinite bounds
(min=rep(-Inf, nassets) and max=rep(Inf, nassets)) if box constraints are
not specified.


> **
>
> Also, note the following behavior:****
>
> ** **
>
> > args(add.constraint)****
>
> function (portfolio, type, enabled = FALSE, ..., indexnum = NULL) ****
>
> NULL****
>
> ** **
>
> Is it possible for args to result in additional arguments of function that
> will make more clear what they are?  Or by design are we stuck with the “…”
> to indicate all the other arguments possible?
>

I think we are stuck with "..." to indicate all other arguments for the
add.constraint function. However, I have links to the other functions that
add the constraints.
?add.constraint and check the "See Also" section.

Alternatively, if you know the type of constraint and the function, you can
get the args of that function.
> args(box_constraint)
function (type, assets, min, max, min_mult, max_mult, enabled = TRUE,
    ...)
NULL

Thanks for the suggestions and feedback!
Ross

****
>
> ** **
>
> Doug****
>
> ** **
>
> ** **
>
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