[GSoC-PortA] Mean-mETL objective?

[Peter Carl]

Hey Ross,

I can't seem to get the Mean-mETL objective to select anything other than
the Min mETL portfolio using ROI.  It looks like there should be good
convexity, but I think there's a substantial imbalance between the size of
the monthly mean return and the loss indicated by the ETL.  I've tried
modifying the multiplier on the mean, but it doesn't seem to have an
effect.

Any thoughts?

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