[GSoC-PortA] Finishing Touches to PortfolioAnalytics
Joshua Ulrich
josh.m.ulrich at gmail.com
Sat Apr 12 00:28:09 CEST 2014
Thanks for following up with this Ross!
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
On Fri, Apr 11, 2014 at 3:51 PM, Ross Bennett <rossbennett34 at gmail.com> wrote:
> A brief update.
>
> I've been in communication with Martin Pacala and Stefan Theussl at R-Forge
> regarding this error and we were not able to find out exactly where the
> error is coming from or how to fix it. Stefan added PortfolioAnalytics to
> the Windows and Linux stop list only for the building vignettes part and the
> build status is now current on R-Forge.
>
> Ross
>
>
> On Wed, Apr 2, 2014 at 9:00 AM, Ross Bennett <rossbennett34 at gmail.com>
> wrote:
>>
>> 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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>>>> GSoC-PortA at lists.r-forge.r-project.org
>>>> <mailto: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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>>>>
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>>>
>>> --
>>> Brian G. Peterson
>>> http://braverock.com/brian/
>>> Ph: 773-459-4973
>>> IM: bgpbraverock
>>> _______________________________________________
>>> GSoC-PortA mailing list
>>> 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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