optimization_info: Porfolio Optimization - Print Optimization Details

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Prints optimization details (constraint violations, local optima and etc.) for an optimal portfolio.

Usage

optimization_info(portfolio)

Arguments

portfolio

Portfolio object returned by optimization_run( ) function

Value

Prints summary table.

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)
optimization_info(optimalPortfolio)

## End(Not run)

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