[GSoC-PortA] Mean-mETL objective?

[Doug Martin]

Peter,

 

While you have convexity with ETL, that would not hold with mETL due to
presence of skewness and kurtosis of portfolio returns that depend upon the
weights.  I'll have a look at the rest of this thread.

 

Doug

 

 

-----Original Message-----
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 Peter
Carl
Sent: Friday, October 04, 2013 11:49 AM
To: gsoc-porta at r-forge.wu-wien.ac.at
Subject: [GSoC-PortA] Mean-mETL objective?

 

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> http://www.braverock.com/peter

 

 

 

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