optimization_run: Portfolio Optimization - Runs Optimization Algorithm

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Runs portfolio optimization procedure and returns corresponding optimal portfolio.

Usage

optimization_run(optimizer)

Arguments

optimizer

Optimizer object created using optimization_goal( ) function

Value

Optimal portfolio 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)
optimization_run(optimizer)

## End(Not run)

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