[R-SIG-Finance] random portfolios

[Scott Payseur]

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
>
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-- 
Scott Payseur

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