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

[Kevin Dhingra]

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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> > 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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>
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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

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