optimization_goal: Porfolio Optimization - Set Optimization Goal

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Initializes portfolio optimization goals and returns newly constructed optimizer object.

Usage

optimization_goal(goal,
		direction=c("min","max"),
		approxError=1e-12,
		optimumProbability=0.99)

Arguments

goal	Object of class metric to be used as an optimization goal
direction	choose direction of optimization algorithm: "min" - maximization goal, "max" - minimization goal
approxError	Estimation error in decimal points for computing optimal weights. Smaller value slows down optimization algorithm, but increases precision.
optimumProbability	Required probability level of a global optimum. Higher value slows down optimization algorithm, but increases chance of finding globally optimal solution.

Value

Optimizer object.

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.