Description Usage Arguments Author(s) See Also
Add a sub-portfolio to a multiple layer portfolio specification object
1 2 3 4 |
mult.portfolio |
a |
portfolio |
a |
optimize_method |
optimization method for the sub portfolio |
search_size |
integer, how many portfolios to test, default 20,000 |
rp |
matrix of random portfolio weights, default NULL, mostly for automated use by rebalancing optimization or repeated tests on same portfolios |
rebalance_on |
haracter string of period to rebalance on. See
|
training_period |
an integer of the number of periods to use as a training data in the front of the returns data |
trailing_periods |
an integer with the number of periods to roll over (i.e. width of the moving or rolling window), the default is NULL will run using the returns data from inception |
... |
additonal passthrough parameters to |
indexnum |
the index number of the sub portfolio. If |
Ross Bennett
mult.portfolio.spec
portfolio.spec
optimize.portfolio
optimize.portfolio.rebalancing
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