[GSoC-PortA] Finishing Touches to PortfolioAnalytics

[Brian G. Peterson]

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
IM: bgpbraverock