Brian, Thank you for a quick reply. I will soon be working on that problem and from what I have played with so far, it is unlikely that for our example ~2k portfolios will be enough (really hoping it would) to get a good sense of the feasible space and seems like I need to implement an Rcpp version of the random portfolios function. I will be happy to collaborate and share my code once i get a decent handle on it locally for the purposes of our current project.
Regards, Kshitij Dhingra On Mon, Mar 20, 2017 at 3:17 PM, Brian G. Peterson <br...@braverock.com> wrote: > On Mon, 2017-03-20 at 15:09 -0400, Kevin Dhingra wrote: > > 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? > > We've discussed it, but I can't say that it is terribly high on our > list of priorities. > > In most cases, no more than 1-2k portfolios should be required to get a > fair view of the feasible space given your constraints and objectives. > > We'd be happy to work with you if you want to craft a patch to use C or > Rcpp for this. > > Regards, > > Brian > -- Kshitij Dhingra Applied Academics LLC Office: +1.917.262.0516 Mobile: +1.206.696.5945 Email: kshitij.dhin...@appliedacademics.com Website: http://www.AppliedAcademics.com [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.