[GSoC-PortA] Mean-mETL objective?

[Brian G. Peterson]

Can't we assume convexity, even if we're wrong?

In many cases, the upper hull of the mean/mETL space will be convex, and 
the lack of convexity will manifest itself only in the lower hull.

Right now, we don't do the mean/ETL tangency portfolio even when we have 
Gaussian ETL.  It seems that we should be able to support this for the 
mean/ETL space, and extend it with appropriate caveats to the mean/mETL 
space.

Doug is correct that in the presence of skewness and kurtosis the upper 
hull may be sufficiently bumpy that the quadratic (or is it conical?) 
form won't hold.  It seems that we could address this in the documentation.

On 10/05/2013 10:10 AM, Doug Martin wrote:
> 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: Peter Carl
> Sent: Friday, October 04, 2013 11:49 AM
>
> 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
>
> --