[GSoC-PortA] PortfolioAnalytics Documentation Review

[Kirk Li]

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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>
>
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