[GSoC-PortA] Finishing Touches to PortfolioAnalytics

Wed Apr 2 18:00:59 CEST 2014

I sent an email to R-Forge at R-Project.org in the beginning of March and have
yet to hear back so I sent a follow up email on Monday. I spent some time
earlier in the week trying to figure out where this error is coming from
and still am unable to replicate the error we are getting on R-Forge. I
heard back from someone yesterday, so hopefully we can get this taken care
of.

I suppose an option is to leave the .Rnw files in the vignettes/ folder,
move the .pdf files to inst/doc/ and add 'BuildVignettes: false' to the
DESCRIPTION file.

Ross

On Mon, Feb 24, 2014 at 11:16 AM, Brian G. Peterson <brian at braverock.com>wrote:

> I'm guessing the vignettes might just take too long for R-Forge.  We
> should ask them to see if they have any other data.  I had no trouble
> building it here from the command line and RStudio.
>
> Brian
>
>
> On 02/24/2014 11:23 AM, Ross Bennett wrote:
>
>> All,
>>
>> PortfolioAnalytics is not building on R-forge and part of the error
>> message is shown below.
>>
>> Error: processing vignette 'risk_budget_optimization.Rnw' failed with
>> diagnostics:
>> subscript out of bounds
>> Execution halted
>> Run time: 437.89 seconds.
>>
>> However, when I run R CMD Check, the R code in the vignettes runs
>> successfully so I am not sure how to address this error or if there is
>> something else I am missing. I also tried building the vignette in
>> Rstudio with the 'compile pdf' button and it compiled successfully. For
>> your reference, I am attaching the 00check.log file.
>>
>> Ross
>>
>>
>>
>> On Thu, Feb 20, 2014 at 10:48 AM, Doug Martin <martinrd at comcast.net
>> <mailto:martinrd at comcast.net>> wrote:
>>
>>     Got it and will take a look tomorrow or on the weekend.____
>>
>>     __ __
>>
>>     Thanks,____
>>
>>     Doug____
>>
>>     __ __
>>
>>     __ __
>>
>>     *From:*gsoc-porta-bounces at lists.r-forge.r-project.org
>>     <mailto:gsoc-porta-bounces at lists.r-forge.r-project.org>
>>     [mailto:gsoc-porta-bounces at lists.r-forge.r-project.org
>>     <mailto:gsoc-porta-bounces at lists.r-forge.r-project.org>] *On Behalf
>>     Of *Ross Bennett
>>     *Sent:* Thursday, February 20, 2014 11:27 AM
>>     *To:* PortfolioAnalytics
>>     *Subject:* Re: [GSoC-PortA] Finishing Touches to
>> PortfolioAnalytics____
>>
>>     __ __
>>
>>     All,____
>>
>>     __ __
>>
>>
>>     I am working on adding functionality to accept a list of portfolio
>>     objects for optimize.portfolio and optimize.portfolio.
>> rebalancing.____
>>
>>     __ __
>>
>>
>>     I added a block of code at the beginning of optimize.portfolio and
>>     optimize.portfolio.rebalancing to detect a list of portfolio objects
>>     and then loop through each portfolio in the list of portfolios and
>>     recursively call optimize.portfolio or
>>     optimize.portfolio.rebalancing. I have a return statement at the end
>>     of that block of code. Some frown upon multiple return statements in
>>     a function, is it ok that I do this here or is there a different
>>     approach I should follow.____
>>
>>     __ __
>>
>>
>>     I also added demo/multiple_portfolio_optimization.R so you can test
>>     out the functionality.____
>>
>>     __ __
>>
>>     I just committed my changes with r3318.____
>>
>>     __ __
>>
>>     Ross____
>>
>>     __ __
>>
>>     __ __
>>
>>
>>     On Wed, Feb 5, 2014 at 6:54 AM, Ross Bennett
>>     <rossbennett34 at gmail.com <mailto:rossbennett34 at gmail.com>> wrote:____
>>
>>
>>     Makes a lot more sense from that perspective to avoid making
>>     optimize.portfolio and optimize.portfolio.rebalancing S3 generic
>>     methods. I'll proceed as you have outlined.____
>>
>>     __ __
>>
>>     Thanks for the clarification and guidance.____
>>
>>     __ __
>>
>>     Ross____
>>
>>     __ __
>>
>>     __ __
>>
>>
>>     On Tue, Feb 4, 2014 at 11:29 PM, Brian G. Peterson
>>     <brian at braverock.com <mailto:brian at braverock.com>> wrote:____
>>
>>     On 02/02/2014 10:25 PM, Ross Bennett wrote:____
>>
>>
>>              Enhance the print and summary methods for
>>              optimize.portfolio.rebalancing. Currently, a list of____
>>
>>
>>              optimize.portfolio objects at each rebalance period is
>>         returned.____
>>
>>              */[Doug] So does that imply one can now input a list of
>>         portfolio____
>>
>>
>>
>>              optimization strategy objects to
>>         "optimize.portfolio.rebalancing",
>>              e.g., each with different constraints and different
>>         objectives?____
>>
>>              (this would be very useful)/*____
>>
>>
>>
>>
>>
>>         No, that is currently not possible, but should not be too hard to
>>         implement. I could do this for optimize.portfolio as well. I
>>         think the
>>         most robust way to implement this would be to make
>>         optimize.portfolio()
>>         and optimize.portfolio.rebalancing() generic methods.
>>
>>         This would require a few minor design changes and I don't think
>>         it would
>>         break backwards compatibility. We would have to change the order
>> of
>>         arguments for optimize.portfolio() and
>>         optimize.portfolio.rebalancing()
>>         so that 'portfolio' is the first argument, currently 'R'  is the
>>         first
>>         argument.____
>>
>>
>>
>>     I think the desired functionality (take a list of portfolio objects)
>>     is a good idea.
>>
>>     I don't think relying on S3 dispatch and making optimize.portfolio.*
>>     into S3 generics makes sense though.
>>
>>     I say this because there's far too much shared code.  The
>>     sub-functions for the different optimizer methods and special cases
>>     are far less code than the wrapper/framework function.  I wouldn't
>>     want to duplicate all that code, or add a bunch of extra function
>>     calls in code that's called lots and lots of times.
>>
>>     Also, I *really* hate breaking backwards compatibility by
>>     rearranging arguments unless there's a compelling reason.  For R
>>     generics like print/plot/summary, using S3 dispatch is the obvious
>>     and only answer, but for optimize.portfolio.*, I'd say leaving the
>>     arguments list alone makes the most sense.
>>
>>     I think you could add the loop over portfolio specification list
>>     elements (if it is a list) and collection of the results into a list
>>     of optimization results into the optimize.portfolio.* functions
>>     without too much work, and without breaking existing code.
>>
>>     Regards,
>>
>>     Brian
>>
>>     --
>>     Brian G. Peterson
>>     http://braverock.com/brian/
>>     Ph: 773-459-4973 <tel:773-459-4973>
>>     IM: bgpbraverock____
>>
>>
>>
>>     _______________________________________________
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>>
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>>
>>     __ __
>>
>>
>>
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> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
> _______________________________________________
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