Re: R-SIG-Finance Digest, Vol 154, Issue 10

Previous Topic Next Topic
 
classic Classic list List threaded Threaded
3 messages Options
Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Re: R-SIG-Finance Digest, Vol 154, Issue 10

Rmetrics mailing list
On 03/21/2017 07:00 AM, [hidden email] wrote:

> Send R-SIG-Finance mailing list submissions to
> [hidden email]
>
> To subscribe or unsubscribe via the World Wide Web, visit
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> or, via email, send a message with subject or body 'help' to
> [hidden email]
>
> You can reach the person managing the list at
> [hidden email]
>
> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of R-SIG-Finance digest..."
>
>
> 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 ([hidden email])
>     9. Re: random portfolios (Brian G. Peterson)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Mon, 20 Mar 2017 15:09:33 -0400
> From: Kevin Dhingra <[hidden email]>
> To: [hidden email]
> Subject: [R-SIG-Finance]  random portfolios
> Message-ID:
> <[hidden email]>
> 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*

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] 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.
Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Re: 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 <
[hidden email]> wrote:

> On 03/21/2017 07:00 AM, [hidden email] wrote:
> > Send R-SIG-Finance mailing list submissions to
> >       [hidden email]
> >
> > To subscribe or unsubscribe via the World Wide Web, visit
> >       https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > or, via email, send a message with subject or body 'help' to
> >       [hidden email]
> >
> > You can reach the person managing the list at
> >       [hidden email]
> >
> > When replying, please edit your Subject line so it is more specific
> > than "Re: Contents of R-SIG-Finance digest..."
> >
> >
> > 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 ([hidden email])
> >     9. Re: random portfolios (Brian G. Peterson)
> >
> >
> > ----------------------------------------------------------------------
> >
> > Message: 1
> > Date: Mon, 20 Mar 2017 15:09:33 -0400
> > From: Kevin Dhingra <[hidden email]>
> > To: [hidden email]
> > Subject: [R-SIG-Finance]  random portfolios
> > Message-ID:
> >       <CAG1eqLZm9ZrTgjMBL0FL8LUQXLoYffibR0CKOnLA96Fu5O_N0g@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*
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] 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.
>



--
Kshitij Dhingra
Applied Academics LLC
Office: +1.917.262.0516
Mobile: +1.206.696.5945
Email: [hidden email]
Website: http://www.AppliedAcademics.com

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] 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.
Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Re: R-SIG-Finance Digest, Vol 154, Issue 10

Rmetrics mailing list
Kshitij,

I am not an expert either, just digging in to the cloud.  But AWS does
have security built in to it. You can select a linux server flavor, add
users, create a S2 data buckets.  Then generate keys for accessing the
server and a buckets that can be shared with the client.  The R code
would be a questions, but if a configured script or web interface is
built, the client would not see the code.

I am not sure if this would work.  This is kinda off topic for this
list.  If you or the list want, we can take it offline.

Joe

On 03/21/2017 08:27 AM, Kevin Dhingra wrote:

> 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
> <[hidden email] <mailto:[hidden email]>> wrote:
>
>     On 03/21/2017 07:00 AM, [hidden email]
>     <mailto:[hidden email]> wrote:
>     > Send R-SIG-Finance mailing list submissions to
>     > [hidden email] <mailto:[hidden email]>
>     >
>     > To subscribe or unsubscribe via the World Wide Web, visit
>     > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>     <https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
>     > or, via email, send a message with subject or body 'help' to
>     > [hidden email]
>     <mailto:[hidden email]>
>     >
>     > You can reach the person managing the list at
>     > [hidden email]
>     <mailto:[hidden email]>
>     >
>     > When replying, please edit your Subject line so it is more specific
>     > than "Re: Contents of R-SIG-Finance digest..."
>     >
>     >
>     > 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 ([hidden email]
>     <mailto:[hidden email]>)
>     >     9. Re: random portfolios (Brian G. Peterson)
>     >
>     >
>     >
>     ----------------------------------------------------------------------
>     >
>     > Message: 1
>     > Date: Mon, 20 Mar 2017 15:09:33 -0400
>     > From: Kevin Dhingra <[hidden email]
>     <mailto:[hidden email]>>
>     > To: [hidden email] <mailto:[hidden email]>
>     > Subject: [R-SIG-Finance]  random portfolios
>     > Message-ID:
>     >    
>      <[hidden email]
>     <mailto:[hidden email]>>
>     > 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*
>
>             [[alternative HTML version deleted]]
>
>     _______________________________________________
>     [hidden email] <mailto:[hidden email]>
>     mailing list
>     https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>     <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.
>
>
>
>
> --
> Kshitij Dhingra
> Applied Academics LLC
> Office: +1.917.262.0516
> Mobile: +1.206.696.5945
> Email: [hidden email]
> <mailto:[hidden email]>
> Website: http://www.AppliedAcademics.com


--
*Joe W. Byers*

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] 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.
Loading...