[GSoC-PortA] GSoC Timeline/Kickoff

[Ross Bennett]

Mentors (and others on the list),

It was great seeing you all at R/Finance last week.

Here are the first 3 tasks in the timeline in my original proposal.

5/19 - 5/30: Multilayer Optimization

5/31 - 6/13: Regime Switching Optimization

6/14 - 6/27: Factor Portfolio Optimization


I would like to modify the timeline as follows:

5/19 - 5/30: Regime Switching Optimization

5/31 - 6/13: Factor Portfolio Optimization

6/14 - 6/27: Multilayer Optimization


Regime Switching Optimization

My code example for the proposal was for regime switching. I kept it pretty
general so that the user can just pass in a time series of what portfolio
to use depending on the regime for any arbitrary regime switching model. Do
you have any comments or feedback on my proposed way for supporting regime
switching?

The regime switching example is in the following code gist

https://gist.github.com/rossb34/9645489

Factor Models to Estimate Moments

I reached out to Kris Boudt a few weeks ago and he shared some of the code
he used for his paper. I put together a small package as a prototype. One
thing to note is that Kris sent me C++ code (using Rcpp) for computing the
cokurtosis error matrix. I would prefer not to rewrite the code in R, but
this does mean introducing a dependency on Rcpp.  Along these same lines,
we could also write functions to compute the 3rd and 4th moments in C++.
The Armadillo library has a kron() function to compute the kronecker
product making the higher moments an easy computation using RcppArmadillo.
We could do this as a prototype in PortfolioAnalytics and eventually move
to PerformanceAnalytics so M3.MM and M4.MM are compiled code. Thoughts?

Here is the source code of the prototype package for moment estimates.

https://bitbucket.org/rossbennett34/momentestimation/src


Best,

Ross
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20140519/ee7068c5/attachment.html>