[GSoC-PortA] Portfolio Vignette

[Brian G. Peterson]

On 09/18/2013 04:38 PM, Ross Bennett wrote:
> All,
>
> In commit r3130, I added a lot of content and charts to the
> portfolio_vignette. I'm still working on the placement and formatting of
> some of the charts, but overall I think this is a pretty good
> introduction to specify the portfolio object, add constraints and
> objectives, and run a few example optimizations.
>
> If anyone has a chance to read through it, I would appreciate any and
> all feedback about existing content or any content that should be added.
>
> The compiled pdf is in the vignettes folder as portfolio_vignette.pdf.

Ross,

Thanks for doing this, it's looking very good.

I'm impressed by the comparison of the different random portfolio 
methods.  It's pretty clear that at fev=0.05 the simplex method will 
concentrate more towards the individual assets while the sample method 
will get a more even distribution in the interior and near the edges. 
It's key to note that depending on your objective, you may very well not 
have an optimal solution along the vertexes.  For example, risk 
contribution or risk budget objectives will likely place the optimal 
portfolio somewhere in the interior.  The min-ERC portfolio lies along a 
line between the minimum variance portfolio and the EW portfolio.

I wonder why you're using all the page space you are to separate the 
weights plot from the scatter plot.  Maybe once to demonstrate that they 
are separate functions, but it seems that when you want to display both 
right next to each other, just calling plot() on the output of 
optimize.portfolio would be s more efficient use of space.  e.g. Fig 
4/5, 6/7, 8/9, 10/11, 12/13, 15/16 etc.

I also wonder if most of section 5.2 could be separated into a separate 
vignette specifically discussing the different methods of doing random 
portfolios, the algorithms themselves, and more completely describing 
the differences, but that can always happen after GSoC.




-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock