[GSoC-PortA] Problem with ROI solvers?

[Peter Carl]

Ross,

Thanks very much for taking the time to look into that - I really
appreciate it.

I hope you don't mind another question, this related to the attached
graph.  I note that the efficient frontier is identifying a higher-return
lower-risk portfolio than the identified optimal, if I'm interpreting it
correctly.

Generated with:
> chart.EfficientFrontier(EqmETL.RND)

Is there something I'm missing?

Btw, I think it's ok with the Google overlords to tell you that you had a
great summer, and that I really appreciate what you've done.  I'm looking
forward to your continued contribution!

pcc
-- 
Peter Carl
http://www.braverock.com/peter

> Peter,
>
> I suspected this might be the case and did confirm it for the results in
> the mean-StdDev space. The plot is using the objective measures from the
> extractStats output of the EqmETL.RND object and these are calculated with
> clean="boudt" whereas the buoys.portfmeas as well as MinSD.ROI are
> calculated with clean="none".
>
> From the graph, it looks like the minimum StdDev for the random portfolios
> is 0.0095. This is close to the result I get with the following test:
>
>> R.clean <- Return.clean(R=R, method="boudt")
>>
>> tmpSD <- vector("numeric", length=nrow(rp))
>> tmpSDcleanR <- vector("numeric", length=nrow(rp))
>> for(i in 1:nrow(rp)){
> +   tmpSD[i] <- StdDev(R=R, weights=rp[i,])
> +   tmpSDcleanR[i] <- StdDev(R=R.clean, weights=rp[i,])
> + }
>>
>> min(tmpSD)
> [1] 0.01020511
>> min(tmpSDcleanR)
> [1] 0.009514874
>> as.numeric(MinSD.ROI$objective_measures)
> [1] 0.01009001
>
> Ross
>
> On Sat, Sep 28, 2013 at 1:04 PM, Peter Carl <peter at braverock.com> wrote:
>
>> I think I might have found the issue.  In the RP solvers, I was using
>> clean="boudt", but wasn't passing in anything into the ROI solvers.
>> That
>> would be a big difference...
>>
>> I'll confirm that is the issue later, and come back if it wasn't.
>>
>> Thanks for listening.
>>
>> pcc
>> --
>> Peter Carl
>> http://www.braverock.com/peter
>>
>> > Whoops, I hit "send" too early.
>> >
>> > That's the gist of the message, though.  I'll check in all my recent
>> > changes and the RP result so that you can reproduce these results.
>> Let
>> me
>> > know if you have any other ideas or see issues in how I've laid out
>> the
>> > constraint objects.
>> >
>> > Thanks in advance,
>> >
>> > pcc
>> > --
>> > Peter Carl
>> > http://www.braverock.com/peter
>> >
>> > I hit a bump in the road a couple of days ago when I looked at the two
>> > attached charts.  One shows the mean-ETL of a set of different
>> objectives
>> > against a cloud of random portfolios.  The objectives that can be are
>> > calculated through ROI; I used RP for most of the others and DE for
>> the
>> > risk budget objective.
>> >
>> > Note that the cloud of RP portfolios shows portfolios with lower mETL
>> than
>> > the indicated MinmETL portfolio.  Well, maybe the mETL space isn't
>> convex?
>> >  Turns out, you can see the same issue in the attached mean-SD space
>> with
>> > the minSD portfolio.
>> >
>> > I went back and re-calculated the RP portfolios to eliminate the
>> wiggle
>> we
>> > usually give the boundaries (a two percent leeway to speed up
>> portfolio
>> > generation) reasoning that those might be the issue.  I generated 10K
>> > RP's, of which about 3K summed exactly to 1.0 (which is plenty).  So I
>> > know that it isn't that those portfolios are out of bounds relative to
>> the
>> > constraints objects.
>> >
>> > I've tried to make sure that every objective is using the same
>> > constraints, and I've double-checked my post processing to make sure I
>> > wasn't damaging the output from the optimization runs to get things
>> into
>> > charts.
>> >
>> > This suggests to me that it's a deeper problem, although there still
>> just
>> > might be an issue in my code somewhere.
>> > --
>> > Peter Carl
>> > http://www.braverock.com/peter
>> >
>> > _______________________________________________
>> > GSoC-PortA mailing list
>> > GSoC-PortA at lists.r-forge.r-project.org
>> > http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta
>> >
>>
>>
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