[GSoC-PortA] Interface to specify portfolio object, add constraints, and add objectives
Ross Bennett
rossbennett34 at gmail.com
Mon Jun 24 04:46:16 CEST 2013
All,
I've recently added a vignette to demonstrate how to create a portfolio
object, add constraints, and add objectives (links below). In addition to
the vignette, I have also add a testing script with more examples of adding
and/or updating constraints and objectives in the portfolio object. The
vignette gives step-by-step examples and description of each component:
- Creating the portfolio object
- Adding constraints
- Adding objectives
With where I am currently at, I feel like we have a coherent framework that
separates constraints from objectives and stores in a portfolio object. The
interface to add constraints is pretty flexible and is very similar to the
current way objectives are added and stored.
I would really appreciate feedback on this new interface to specify
portfolio objects and adding constraints and objectives. Once we are all
satisfied with this interface I can start making changes for
optimize.portfolio to accept a portfolio object.
Thanks,
Ross Bennett
testing_portfolio_specification.R
https://r-forge.r-project.org/scm/viewvc.php/pkg/PortfolioAnalytics/sandbox/testing_portfolio_specification.R?view=markup&revision=2410&root=returnanalytics
portfolio_vignette.Rnw
https://r-forge.r-project.org/scm/viewvc.php/pkg/PortfolioAnalytics/sandbox/portfolio_vignette.Rnw?view=markup&revision=2405&root=returnanalytics
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