[GSoC-PortA] Problem with ROI solvers?

[Ross Bennett]

Peter,

I suspected this might be the case and did confirm it for the results in
the mean-StdDev space. The plot is using the objective measures from the
extractStats output of the EqmETL.RND object and these are calculated with
clean="boudt" whereas the buoys.portfmeas as well as MinSD.ROI are
calculated with clean="none".

>From the graph, it looks like the minimum StdDev for the random portfolios
is 0.0095. This is close to the result I get with the following test:

> R.clean <- Return.clean(R=R, method="boudt")
>
> tmpSD <- vector("numeric", length=nrow(rp))
> tmpSDcleanR <- vector("numeric", length=nrow(rp))
> for(i in 1:nrow(rp)){
+   tmpSD[i] <- StdDev(R=R, weights=rp[i,])
+   tmpSDcleanR[i] <- StdDev(R=R.clean, weights=rp[i,])
+ }
>
> min(tmpSD)
[1] 0.01020511
> min(tmpSDcleanR)
[1] 0.009514874
> as.numeric(MinSD.ROI$objective_measures)
[1] 0.01009001

Ross

On Sat, Sep 28, 2013 at 1:04 PM, Peter Carl <peter at braverock.com> wrote:

> I think I might have found the issue.  In the RP solvers, I was using
> clean="boudt", but wasn't passing in anything into the ROI solvers.  That
> would be a big difference...
>
> I'll confirm that is the issue later, and come back if it wasn't.
>
> Thanks for listening.
>
> pcc
> --
> Peter Carl
> http://www.braverock.com/peter
>
> > Whoops, I hit "send" too early.
> >
> > That's the gist of the message, though.  I'll check in all my recent
> > changes and the RP result so that you can reproduce these results.  Let
> me
> > know if you have any other ideas or see issues in how I've laid out the
> > constraint objects.
> >
> > Thanks in advance,
> >
> > pcc
> > --
> > Peter Carl
> > http://www.braverock.com/peter
> >
> > I hit a bump in the road a couple of days ago when I looked at the two
> > attached charts.  One shows the mean-ETL of a set of different objectives
> > against a cloud of random portfolios.  The objectives that can be are
> > calculated through ROI; I used RP for most of the others and DE for the
> > risk budget objective.
> >
> > Note that the cloud of RP portfolios shows portfolios with lower mETL
> than
> > the indicated MinmETL portfolio.  Well, maybe the mETL space isn't
> convex?
> >  Turns out, you can see the same issue in the attached mean-SD space with
> > the minSD portfolio.
> >
> > I went back and re-calculated the RP portfolios to eliminate the wiggle
> we
> > usually give the boundaries (a two percent leeway to speed up portfolio
> > generation) reasoning that those might be the issue.  I generated 10K
> > RP's, of which about 3K summed exactly to 1.0 (which is plenty).  So I
> > know that it isn't that those portfolios are out of bounds relative to
> the
> > constraints objects.
> >
> > I've tried to make sure that every objective is using the same
> > constraints, and I've double-checked my post processing to make sure I
> > wasn't damaging the output from the optimization runs to get things into
> > charts.
> >
> > This suggests to me that it's a deeper problem, although there still just
> > might be an issue in my code somewhere.
> > --
> > Peter Carl
> > http://www.braverock.com/peter
> >
> > _______________________________________________
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> > GSoC-PortA at lists.r-forge.r-project.org
> > http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta
> >
>
>
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