random portfolios
FYI- I have found it very useful to use random portfolios to verify that your optimization is actually doing something. Particular mandates get so bogged down by constraints (liquidity, box, sector, industry, Barbra risk, etc) that every answer in the feasible set is basically the same. (i.e. If you are making money it's on the constraints.) - Scott
On Tue, Mar 21, 2017 at 13:43 Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
On Tue, Mar 21, 2017 at 5:41 AM, Brian G. Peterson <brian at braverock.com> wrote:
<snip>
To answer the question of whether Rcpp will help is somewhat complex. I'm confident that some of the nested loops in the generation code will be
sped
up by Rcpp. It is possible that more efficient algorithms are available
for
constructing the weight vectors. A reason that this hasn't been a huge priority though is that construction of the random portfolio matrix is usually not the time limiter in a large optimization: your objective function is. I think it will be possible to improve the efficiency of
this
step, though it is unclear how much of an impact this should have in practice to a large and complicated numerically solved portfolio optimization problem.
Brian has hinted at this, but I want to say it explicitly. Whether or not moving to compiled code is worth it is mostly an empirical question. And it's difficult to do more that speculate, unless you have profiling data. So I would strongly encourage you to profile your optimization before you change any code. I would be happy to help review the profiling output.
Regards, Brian
<snip>
-- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
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-- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2017 | www.rinfinance.com
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Scott Payseur [[alternative HTML version deleted]]