optimization_forecast: Porfolio Optimization - Set Optimization Forecast

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Sets user-defined forecasted values for a given metric and returns modified optimizer object. By default value of the metric at time "t" is used as a forecast for "t+1".

Usage

optimization_forecast(optimizer,
 				   metricType,
				   forecast)

Arguments

optimizer	Optimizer object created using optimization_goal( ) function
metricType	Choose forecast metric type: "Beta" - position beta, "Variance" - position variance, "ExpReturn" - position expected return, "Cumulant3" - position 3-th cumulant, "Cumulant4" - position 4-th cumulant
forecast	Object of class metric-class( ) or forecast-class( )

Value

Optimizer object

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-12-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)

# Add position AAPL and GOOG to portfolio
positionAAPL=position_add(portfolio,"AAPL",100)
positionGOOG=position_add(portfolio,"GOOG",200)
portfolio_settings(portfolio,inputSamplingInterval='30m',resultsSamplingInterval='1d')

forecastVarianceAAPL=forecast_builder(variance(positionAAPL),model="HAR",step ='1d')
forecastVarianceGOOG=forecast_builder(variance(positionGOOG),model="HAR",step ='1d')

optimizer=optimization_goal(variance(portfolio),"min")
optimizer=optimization_constraint(optimizer,log_return(portfolio),">=",0)
optimizer=optimization_forecast(optimizer, "Variance", forecastVarianceAAPL)
optimizer=optimization_forecast(optimizer, "Variance", forecastVarianceGOOG)
optimalPortfolioWithHAR=optimization_run(optimizer)

optimizer=optimization_goal(variance(portfolio),"min")
optimizer=optimization_constraint(optimizer,log_return(portfolio),">=",0)
optimalPortfolioWithoutHAR=optimization_run(optimizer)

plot(variance(optimalPortfolioWithHAR),variance(optimalPortfolioWithoutHAR),title="Variance",
legend=c("With HAR Forecast","Without HAR Forecast"))

## End(Not run)

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