R-SIG-Finance Digest, Vol 154, Issue 10
Hi Joe, Sure that is a valid point. We spin up EC2 instances all the time and it works well with R. For this particular problem, we are working with a proprietary algorithm that we do not feel comfortable with putting on AWS as the client needs to have access to the server we work on for providing their in house data on a real time basis and potentially run our application without looking at our code. Not an expert on cloud computing services but my understanding is that such an architecture is not possible via AWS. Regards, Kshitij Dhingra On Tue, Mar 21, 2017 at 8:03 AM, Joe W. Byers via R-SIG-Finance <
r-sig-finance at r-project.org> wrote:
On 03/21/2017 07:00 AM, r-sig-finance-request at r-project.org wrote:
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https://stat.ethz.ch/mailman/listinfo/r-sig-finance or, via email, send a message with subject or body 'help' to r-sig-finance-request at r-project.org You can reach the person managing the list at r-sig-finance-owner at r-project.org When replying, please edit your Subject line so it is more specific than "Re: Contents of R-SIG-Finance digest..." Today's Topics: 1. random portfolios (Kevin Dhingra) 2. Re: random portfolios (Brian G. Peterson) 3. Re: random portfolios (Kevin Dhingra) 4. Re: random portfolios (Ross Bennett) 5. Re: random portfolios (Kevin Dhingra) 6. Re: random portfolios (Brian G. Peterson) 7. Re: random portfolios (Kevin Dhingra) 8. Re: random portfolios (frednovo at pipeline.com) 9. Re: random portfolios (Brian G. Peterson) ---------------------------------------------------------------------- Message: 1 Date: Mon, 20 Mar 2017 15:09:33 -0400 From: Kevin Dhingra <kevin.dhingra at appliedacademics.com> To: r-sig-finance at r-project.org Subject: [R-SIG-Finance] random portfolios Message-ID: <CAG1eqLZm9ZrTgjMBL0FL8LUQXLoYffibR0CKOnLA96Fu5O_N0g at mail.
gmail.com>
Content-Type: text/plain; charset="UTF-8" Hello everybody, I have been using the random_portfolios function from the `PortfolioAnalytics` package to simulate the range of possibilities for return paths at each step under various portfolio constraints / mandates for evaluating mutual fund managers. As more managers are added to the universe, however, and more simulations are needed, the pure R implementations get pretty heavy and hard to scale. I was wondering if there has been any work out there thus far on implementing any of the
three
random portfolio generation methods (sample, simplex, and grid search)
at a
lower level, using something like `Rcpp` to enhance the efficiency of
these
algorithms? Any help/feedback is much appreciated. Thank you,
All,
From a purely computing technical point, has anyone thought of spinning
up an amazon E2 or gcloud server with R and other required software and
packages installed? Then running the algorithms there. You can create
a image of the installation, modify the server power as needed, all for
a small charge. I spun one up on amazon few weeks ago testing, R on
it. played with it for a couple of hours and then terminated it after
saving the image. It cost me 2 cents. Another alternative to the
amazon image is a docker image that is cross platform compatible.
This would allow for multi-threading on demand as well as easy memory
expansion, so this might scale for you.
Just a side thought.
Joe
--
*Joe W. Byers*
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Kshitij Dhingra Applied Academics LLC Office: +1.917.262.0516 Mobile: +1.206.696.5945 Email: kshitij.dhingra at appliedacademics.com Website: http://www.AppliedAcademics.com [[alternative HTML version deleted]]