[GSoC-PortA] Mean-mETL objective?

[Brian G. Peterson]

If it is an LP problem, I think you can only minimize subject to 
constraints.

If it is a QP problem, can't you do the mean/ETL portfolio?

That assumes the space is convex, which it will be for Gaussian ETL, and 
may not be for modified Cornish Fisher ETL, but will be most of the 
time, at most reasonable confidence levels.

Brian

On 10/04/2013 02:42 PM, Ross Bennett wrote:
> 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
> <mailto: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