[GSoC-PortA] Odd Behavior Depending on Order of Objectives
Ross Bennett
rossbennett34 at gmail.com
Mon Sep 23 16:32:48 CEST 2013
All,
After running Peter's script in the sandbox/symposium2013, I noticed that
portfolio component ES and component StdDev were not being returned in the
$objective_measures slot.
I did some testing and it appears that if a "risk" objective is added after
a "risk_budget" objective with the same name (e.g. "ES" or "StdDev"), the
portfolio component contribution is not returned. This seems odd to me
because constrained_objective loops through the objectives and calculates
each one separately.
I attached an example script to demonstrate this.
Any thoughts on what is going on here?
Thanks,
Ross
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