Description Usage Arguments Value Author(s) Examples
Prints optimization details (constraint violations, local optima and etc.) for an optimal portfolio.
1 | optimization_info(portfolio)
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portfolio |
Portfolio object returned by optimization_run( ) function |
Prints summary table.
Kostin Andrey <andrey.kostin@portfolioeffect.com>
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ## 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)
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