[GSoC-PortA] Quick question on multipliers and constrained_objective()

[Doug Martin]

Brian and Ross (and anyone else who wishes to comment),

 

Thanks for the late evening response.   Good to allow both conventions wrt
the sign of risk.  Will check the leading portfolio and risk products for
most frequent choice, and then we should go to with the majority.  My priors
are that the plus sign will win.

 

Much more importantly:  I just started browsing the PortfolioAnalytics help
files manual, slowly starting to refresh my memory of what little I
understood last summer.  Please see the attached version of August 26 (not
the latest I know, but almost the last if not the last the Hezky edited)),
where I have added a small number of comments here and there.  See in
particular my comments on optimize.portfolio.  It would be very helpful if
the unfinished business of making ROI invisible to the user is taken care
of, and soon we just have solve.QP and Rglpk_solve_LP as optimizer choice
arguments.  Even before getting all the constraint object changes, because
then I could check running my solve.QP and Rglpk_solve_LP based examples
(Ross you are quite familiar with these) run via optimize.portfolio and box
constraints.  Then come back to group constraints when they are implemented.

 

Will keep browsing the manual, and try to understand what is going on.
Brian, I don't know if you (and Ross) can manage, but examples at the end of
each help file would be truly helpful (no pun intended).

 

Thanks,

Doug

 

P.S. Brian, I hope you didn't hear my phone call at 11:15 or so - I thought
you were still live on email and then realized that almost 30 minutes had
passed and you had probably crashed. 

 

 

 

-----Original Message-----
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 Brian
G. Peterson
Sent: Friday, June 21, 2013 8:55 PM
To: gsoc-porta at r-forge.wu-wien.ac.at
Subject: Re: [GSoC-PortA] Quick question on multipliers and
constrained_objective()

 

On 06/21/2013 10:44 PM, Doug Martin wrote:

> Small comment:  a lot (if not most) literature on risk takes risk as a 

> positive number, so puts a minus sign on the VaR quantile, etc.  I 

> previously noticed that PerformanceAnalytics takes risk as negative, 

> had the thought to change that.

 

PerformanceAnalytics allows it either way, user's choice.

 

Risk is risk of *loss*.  Period.

 

Now, the math is sometimes/often easier with a positive number, I admit, but
it's typical for risk reports on real portfolios to describe those risks as
negative numbers.

 

So we allow either.

 

 

Cheers,

 

Brian

 

 

--

Brian G. Peterson

 <http://braverock.com/brian/> http://braverock.com/brian/

Ph: 773-459-4973

IM: bgpbraverock

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