[GSoC-PortA] GSoC Timeline/Kickoff

[Ross Bennett]

On Mon, May 19, 2014 at 8:37 AM, Doug Martin <martinrd at comcast.net> wrote:

> Two initial comments about regime switching models and their use, keeping
> mind that I haven’t looked at the proposal in a long time (maybe send it
> along):
>
>
>
> 1)      There are a lot of models and they tend to be complex.  The good
> news is that this PortfolioAnalytics development will support people to
> more (badly needed) research on what models are really worth using.
>
>
>
> 2)      As for use in portfolio optimization a main feature needed is
> allow the user to specify how to blend
>
> data from a prior regime (or regimes) and the new  regime for which you at
> first have very little data (maybe you already included this in the
> proposal?)
>
That was not included in my proposal, but could be considered.

Link to proposal
http://www.google-melange.com/gsoc/proposal/review/student/google/gsoc2014/rossbennett34/5747559595245568



>
>
> 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:* Monday, May 19, 2014 8:20 AM
> *To:* PortfolioAnalytics
> *Subject:* [GSoC-PortA] GSoC Timeline/Kickoff
>
>
>
> 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
>
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