[GSoC-PortA] Mean-mETL objective?

[Ross Bennett]

Peter,

Unfortunately, with ROI we are only able to minimize ETL with ETL as an
objective. If you have mean and ETL as an objective using ROI, unless there
is a target in the mean return objective, we just minimize ETL. If you have
both mean and ETL as objectives, you could add a target to the mean
objective and this will minimize ETL subject to the target return.

We can do the following with ETL as an objective using ROI:
 - Minimize ETL subject to leverage, box, group, exposure, position limit,
and target return.

Multipliers are ignored with ROI since the problems are formulated into an
LP/QP problem. I'll take a look at the documentation in optimize.portfolio
and make sure this is clear.

I hope that helps clear it up.

Ross


On Fri, Oct 4, 2013 at 11:49 AM, Peter Carl <peter at braverock.com> wrote:

> 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
>
>
>
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