[R-SIG-Finance] R-SIG-Finance Digest, Vol 154, Issue 10

[Joe W. Byers]

On 03/21/2017 07:00 AM, r-sig-finance-request at r-project.org wrote:
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> Today's Topics:
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>     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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