[GSoC-PortA] Portfolio Vignette

[Ross Bennett]

On Thu, Sep 19, 2013 at 2:20 AM, Brian G. Peterson <brian at braverock.com>wrote:
>
>
> 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.
>

Agreed, I think it is very interesting to look at the feasible space with
different values for the fev biasing. Good point about the portfolios with
risk budget objectives being on the interior. I'll add that to the vignette.


>
> 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 did it once to show that they can be plotted separately, but then got a
little carried away with copy/paste. I'll edit and just use the plot
function.


>
> 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.


This would be interesting to expand on the material in this section
including some benchmarking, looking at different constraints, impact of
handling constraints by elimination, etc.

Thanks,
Ross


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