ren: Main Function for Portfolio Analysis

In REN: Regularization Ensemble for Robust Portfolio Optimization

Main Function for Portfolio Analysis

Description

This function integrates data preparation, parallel setup, and portfolio analysis. It takes raw data as input, prepares it using 'prepare_data', sets up parallel processing using 'setup_parallel', and performs the analysis using 'perform_analysis'.

Usage

ren(
  dat,
  date_column_index = 1,
  start_date = "19990101",
  end_date = "20231231",
  num_cores = 2
)

Arguments

dat	A data frame or matrix where the first column is the date and the remaining columns are the data.
date_column_index	The index of the date column in the input data. Default is 1.
start_date	A character string specifying the start date for filtering the data in 'YYYYMMDD' format. Default is '19990101'.
end_date	A character string specifying the end date for filtering the data in 'YYYYMMDD' format. Default is '20231231'.
num_cores	The number of cores to use for parallel processing. Default is 2.

Value

The results from 'perform_analysis', including plots and performance metrics.

Examples

## Not run: 
# load the sample data
dat(FF25)
# Run the main function
result <- ren(FF25)

# Display results
print(result$cumulative_return_plot)
print(result$cumulative_turnover_plot)

## End(Not run)

REN documentation built on Oct. 10, 2024, 5:06 p.m.