[GSoC-PortA] GSoC Timeline/Kickoff

[Peter Carl]

Here's some background reading from April's edition of the Journal of 
Finance.  This is slightly off topic, but I had been intending to send 
this paper to this group and this reminded me that I should send it 
around.  The conclusion: For portfolios to perform well out of sample, 
it is important to incorporate an ensemble of methods that cover 
stochastic volatility, time-varying return expectation, AND parameter 
uncertainty.  It would be great to take this paper as an excuse to start 
to develop best practices for some of these issues.

pcc


On 05/19/2014 10:20 AM, Ross Bennett wrote:
> 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 <http://M3.MM> and M4.MM <http://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
>
>
>
> _______________________________________________
> GSoC-PortA mailing list
> GSoC-PortA at lists.r-forge.r-project.org
> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20140519/aeb23e58/attachment-0001.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: jofi12121.pdf
Type: application/pdf
Size: 790720 bytes
Desc: not available
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20140519/aeb23e58/attachment-0002.pdf>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: jofi12121-sup-0001-AppendixS1.pdf
Type: application/pdf
Size: 1376802 bytes
Desc: not available
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20140519/aeb23e58/attachment-0003.pdf>