[GSoC-PortA] Finishing Touches to PortfolioAnalytics

[Ross Bennett]

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> 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] *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>
> 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>
> 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
> IM: bgpbraverock
>
>
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