[GSoC-PortA] PortfolioAnalytics Documentation Review

[Doug Martin]

Thanks.  Ross and I can run the code, and get the tutorial later.

 

Doug

 

 

From: cocokecoli at gmail.com [mailto:cocokecoli at gmail.com] On Behalf Of Kirk Li
Sent: Thursday, August 14, 2014 10:00 AM
To: Doug Martin
Cc: PortfolioAnalytics; Ke Li
Subject: Re: [GSoC-PortA] PortfolioAnalytics Documentation Review

 

Hi, Doug and Ross, 

 

​I changed the min mu to be 0 (in efront.constrained.r) for models with propcost .  However I am using a hotel's desktop and cannot compile rmd file to update tutorial pdf. 

 

I have attached the new zipped file.  

 

Best




Ke Li (Kirk) 

 

 

On Wed, Aug 13, 2014 at 6:33 PM, Doug Martin <martinrd at comcast.net> wrote:

Ross,

 

I just talked with Kirk.  He needs to make a small fix to the code so that the efficient frontier for this case starts at the mean risk point (0,0).  It was originally one of the ways it was done, but not in the most recent version.  He may get a chance to look at it and fix tonight.  Else he will be on the road until Sunday and get to it then.   I have cc’d Kirk so the two of you can be in touch.  

 

Doug

 

 

 

From: 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: Wednesday, August 13, 2014 6:40 PM
To: PortfolioAnalytics
Subject: Re: [GSoC-PortA] PortfolioAnalytics Documentation Review

 

Doug,

 

Do you have the R script of Kirk's implementation you can send me? I'll run his code and compare to see if we get the same results.

 

Ross

 

 

On Wed, Aug 13, 2014 at 12:44 PM, Doug Martin <martinrd at comcast.net> wrote:

Ross,

 

Got it, thanks.  Will have a look in the next few days.

 

What is the status of the proportional costs constraint?  I was not getting what I thought seemed reasonable results for a single optimization, but I could be wrong.  It would be good to see if Kirk’s implementation example for an efficient frontier with proportional cost constraints can be replicated in PortfolioAnalaytics.

 

Doug

 

 

From: 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: Tuesday, August 12, 2014 4:05 AM
To: PortfolioAnalytics
Subject: [GSoC-PortA] PortfolioAnalytics Documentation Review

 

All,

 

I am down to the final week of GSoC 2014 and my focus is on improving the documentation and vignettes. Attached is the most recent manual as well as a new vignette describing how to implement custom moment and custom objective functions.

 

If you have the time to review these documents, I would greatly appreciate any comments and feedback .

 

Thanks,

Ross


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