[GSoC-PortA] Finishing Touches to PortfolioAnalytics

[Doug Martin]

Ross,

 

Good to see.  Main thing from my perspective is that I need to check my
chapter 2 with the current version and see if I missed implementing my
current examples with the "to be released" version of PortfolioAnalytics,
and finishing off a couple more examples.  I will do this during the coming
week.  

 

Other comments below.

 

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: Sunday, February 02, 2014 12:44 PM
To: PortfolioAnalytics
Subject: [GSoC-PortA] Finishing Touches to PortfolioAnalytics

 

All,

 

To put the finishing touches on PortfolioAnalytics, I propose the following
items.

 

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)

 

I'd like to change this to also return the R object so that I can do more
with a summary method such as calculating the portfolio rebalanced returns,
annualized return, risk measures, etc.

[Doug] I guess there is the question of how much in the way of performance
analysis gets done with a summary method, as compared with using
PerformanceAnalytics on the result of optimize.portfolio.rebalancing.

 

Add function to generalize the plot from Peter's presentation. See attached
image.

 

Address all warnings in R CMD Check

I just ran R CMD Check using Rstudio and the only warning I received was the
following:

* checking package vignettes in 'inst/doc' ... WARNING

Package vignettes without corresponding PDF/HTML:

   'DesignThoughts.Rnw'

   'ROI_vignette.Rnw'

   'portfolio_vignette.Rnw'

   'risk_budget_optimization.Rnw'

 

We don't have anything in inst/doc as all our vignette files (.Rnw and .pdf)
are in the vignettes directory. How do I handle this warning.

 

Final review of documentation.

 

I am just getting started playing around with the Bloomberg Portfolio
Analysis module to see if there is anything we can borrow from there.

 

Is there anything else that I need to consider?

 

Ross

 

P.S. Go Seahawks!

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