[GSoC-PortA] Additional Thoughts about Handling Constraints and Objectives

[Doug Martin]

Ross and all,

 

It seems that the only way to get constraints and objectives into
optimize.portfolio_v2 currently is to first bundle them together in an
object of class portfolio (that is produced by using portfolio.spec,
add.constraint and add.objective_v2).  Is that correct?   If so, it does not
result in the most attractive work-flow in some contexts.  I think we need
to have a version of optimize.portfolio that allows for separate inclusion
of a constraint object and an objective object.  The reason is that you
often want to backtest strategies with the objective fixed and the
constraints varying, and vice versa.  When doing so you don't want to have
to create the combined object each time.  I'm guessing this would be a
fairly easy fix, i.e., keep the current behavior with portfolio with default
NULL and add the capability above???

 

Doug

 

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