[R-SIG-Finance] random portfolios

[Joshua Ulrich]

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