[GSoC-PortA] Mean-mETL objective?

[Doug Martin]

-----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 Brian
G. Peterson
Sent: Sunday, October 06, 2013 6:23 AM
To: gsoc-porta at r-forge.wu-wien.ac.at
Subject: Re: [GSoC-PortA] Mean-mETL objective?

 

Doug,

 

If the underlying solvers can do it, we should be able to pass it through to
ROI.  There shouldn't be any inherent restriction from using ROI.

[Doug] Agreed.

 

I think, based on reading your replies, that we just need to understand how
to formulate the problem.

[Doug] That is done.

 

DEoptim only finds one minima, and it appears to be the correct one. 

'Neighbor' portfolios (the portfolios closest to the global minima by
objective vaule) are all close in the hull space to the global minima.

 

Overall, I'd hope to investigate this a bit more, because if the formulation
as a LP/QP problem is possible, it's obviously much faster than using random
portfolios or DEoptim (or PSO, or GenSA, etc) to find the objective.

[Doug] I think spend a little time on this later this autumn or early
winter.

 

Regards,

 

Brian

 

On 10/05/2013 10:15 AM, Doug Martin wrote:

> *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.

> 

> */[Doug] That is unfortunate./*

> 

> 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.

> 

> */[Doug] Ditto on my comment above.  There is no problem to use 

> solve.QP directly in the quadratic utility (QU) formulation of the 

> problem (as well as the MinVar formulation). Should be the same for 

> Rglpk.  So we are inheriting a limitation of ROI not of the solvers 

> themselves./*

> 

> *//*

> 

> 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> 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

> --

> Peter Carl

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

> 

> 

> 

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--

Brian G. Peterson

 <http://braverock.com/brian/> http://braverock.com/brian/

Ph: 773-459-4973

IM: bgpbraverock

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