[GSoC-PortA] Random portfolios

[Peter Carl]

Thanks, that does work.  Should the check done in randomize_portfolio_v2
be moved up the chain to catch that issue earlier?
-- 
Peter Carl
http://www.braverock.com/peter

> The reason for fewer random portfolios being generated is due to the
> leverage constraints in init.portf. There is a block of code in
> randomize_portfolio_v2 (which is called by rp_sample) that will check for
> a
> difference in min_sum and max_sum. For example, if min_sum=1 and
> max_sum=1,
> we temporarily modify min_sum=0.99 and max_sum=1.01 so that random
> portfolios can be generated.
>
> Then in random_portfolios, there is a block of code that eliminates
> portfolios that do not satisfy the constraints with the check_constraints
> function. This takes place for random portfolios generated by the sample,
> simplex, and grid method. Because rp_sample will generate portfolios with
> weights that sum from 0.99 to 1.01, there are several portfolios that
> violate leverage constraints of min_sum=1 and max_sum=1 and therefore will
> be eliminated.
>
> If you change the init.portf leverage constraints to min_sum=0.99 and
> max_sum=1.01 you should generate 1000 portfolios.
>
> I'll add some of this content to the @details in random_portfolios to
> explain how the function is sensitive to leverage constraints.
>
> Thanks,
> Ross
>
>
>
>
> On Tue, Sep 24, 2013 at 8:15 AM, Ross Bennett
> <rossbennett34 at gmail.com>wrote:
>
>> Thanks for making me aware of this. I'll take a closer look and try to
>> figure out what is going on.
>>
>> Ross
>> On Sep 24, 2013 8:03 AM, "Peter Carl" <peter at braverock.com> wrote:
>>
>>> Fair point.  I get the same result when I use high values for
>>> max_permutations.  That attribute should probably be referenced in the
>>> function documentation under details, so that users know it can be
>>> passed
>>> through dots.
>>>
>>> Same result though.  When I call rp_sample directly:
>>> rp_sample(init.portf, permutations=1000)
>>> ... I get 1000 rows back.
>>>
>>> So something's happening in the dispatch code?
>>>
>>> pcc
>>> --
>>> Peter Carl
>>> http://www.braverock.com/peter
>>>
>>> > On 09/24/2013 09:28 AM, Peter Carl wrote:
>>> >> The random_portfolios function isn't generating the correct number
>>> of
>>> >> permutations.
>>> >>
>>> >>> >random_portfolios(portfolio=init.portf, permutations=1000)
>>> >> gives me a result with 317 weight vectors, rather than 1000.
>>> >>
>>> >> I think that there's a loop missing: when the number of lines is
>>> less
>>> >> than
>>> >> permutations, the function needs to generate more, check for unique
>>> >> solutions, and repeat until there are (in this case) 1000 weight
>>> >> vectors.
>>> >>
>>> >> Although (and it's difficult to tell), on their own the charts seem
>>> to
>>> >> generate about the right number?  Or maybe not...
>>> >
>>> > I suspect that given your constraints you're just hitting
>>> > max_permutations.
>>> >
>>> > All that code is still there, so it seems most likely that you just
>>> > don't have max_permutations high enough, or that your granularity on
>>> the
>>> > sequence is too high (e.g. you're using a step size of .01, and
>>> should
>>> > try .005)
>>> >
>>> > --
>>> > Brian G. Peterson
>>> > http://braverock.com/brian/
>>> > Ph: 773-459-4973
>>> > IM: bgpbraverock
>>> > _______________________________________________
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>>>
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>>
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