optimization_constraint: Portfolio Optimization Constraint

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Adds portfolio optimization constraint restricting optimal portfolio's beta to a certain range.

Usage

optimization_constraint(optimizer,
        constraintMertic,                              
		constraintType,
		constraintValue)

Arguments

optimizer	Object of class optimizer created using optimization_goal( ) method
constraintMertic	Object of class metric to be used for computing optimization constraint
constraintType	Optimization constraint type: "=" - an equality constraint, ">=" - an inclusive lower bound constraint, "<=" - an inclusive upper bound constraint
constraintValue	Value to be used as a constraint boundary

Value

Object of class optimizer

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
optimizer=optimization_goal(log_return(portfolio),"max")
optimizer=optimization_constraint(optimizer,beta(portfolio),"<=",0.5)
optimalPortfolio=optimization_run(optimizer)
print(optimalPortfolio)

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.