[GSoC-PortA] Interface to specify portfolio object, add constraints, and add objectives

[Doug Martin]

Ross,

 

Great to see this!   Either this evening or first thing in the morning, I'll
build PortfolioAnalytics and run the vignette, and take a look.

 

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: Sunday, June 23, 2013 7:46 PM
To: PortfolioAnalytics
Subject: [GSoC-PortA] Interface to specify portfolio object, add
constraints, and add objectives

 

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
<https://r-forge.r-project.org/scm/viewvc.php/pkg/PortfolioAnalytics/sandbox
/testing_portfolio_specification.R?view=markup&revision=2410&root=returnanal
ytics> &revision=2410&root=returnanalytics

 

portfolio_vignette.Rnw

https://r-forge.r-project.org/scm/viewvc.php/pkg/PortfolioAnalytics/sandbox/
portfolio_vignette.Rnw?view=markup
<https://r-forge.r-project.org/scm/viewvc.php/pkg/PortfolioAnalytics/sandbox
/portfolio_vignette.Rnw?view=markup&revision=2405&root=returnanalytics>
&revision=2405&root=returnanalytics

 

 

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