|A new beta and more
There are several new things in the Portfolio Probe world.
Second beta of version 1.04
There is a second beta available of Portfolio Probe version 1.04. The two main changes are:
The trading cost item allows each asset to have different exponents in the formula. That is, market impact can be asset specific rather than a property of the universe.
It works under R 2.14.x (a namespace was added)
Specification of trading costs is generalized (by user request)
More about the beta can be found in the user email: http://www.portfolioprobe.com/wp-content/uploads/2012/01/user_news_120120.html
BurStFin is now on CRAN
The BurStFin R package is (finally) on CRAN. It is almost the same as the old version, but has a bit of improvement:
The blog post with more detail is http://www.portfolioprobe.com/2012/02/16/the-burstfin-r-package/
It works in R 2.14.x (a namespace was added)
The variance estimation functions (Ledoit-Wolf shrinkage and statistical factor model) now warn by default if you accidentally give them prices rather than returns
There is a new function that creates a three-dimensional array from one or more matrices
Using Portfolio Probe in C++
The real work of random portfolio generation and trade optimization in Portfolio Probe is done in C. So it would seem that if you want to use Portfolio Probe in a C++ program that calling that code directly would be the thing to do. In actuality that is a very hard path to go down.
But there's an alternative. Thanks to the wonderful R packages Rcpp and RInside it is quite easy to call R code from C++. This includes Portfolio Probe.
There is now an example of doing this on the Cookbook page on the Portfolio Probe website: http://www.portfolioprobe.com/user-area/documentation/portfolio-probe-cookbook/c-and-portfolio-probe-via-rinside/
The most popular blog posts in January are listed in: http://www.portfolioprobe.com/2012/02/01/popular-posts-2012-january/
The winner was the post "The top 7 portfolio optimization problems": http://www.portfolioprobe.com/2012/01/05/the-top-7-portfolio-optimization-problems/