Description Usage Arguments Details See Also
This function will dispatch to the appropriate class handler based on the input class of the optimize.portfolio output object.
1 | extractStats(object, prefix = NULL, ...)
|
object |
list returned by optimize.portfolio |
prefix |
prefix to add to output row names |
... |
any other passthru parameters |
For optimize.portfolio
objects:
In general, extractStats
will extract the values
objective measures and weights at each iteration of a set
of weights. This is the case for the DEoptim, random
portfolios, and pso solvers that return trace
information. Note that trace=TRUE
must be
specified in optimize.portfolio
to return the
trace information.
For optimize.portfolio.pso
objects, this function
will extract the weights (swarm positions) from the PSO
output and the out values (swarm fitness values) for each
iteration of the optimization. This function can be slow
because we need to run constrained_objective
to
calculate the objective measures on the transformed
weights.
For optimize.portfolio.rebalancing
objects:
The extractStats
function will return a list of
the objective measures and weights at each rebalance date
for optimize.portfolio.rebalancing
objects. The
objective measures and weights of each iteration or
permutation will be returned if the optimization was done
with DEoptim, random portfolios, or pso. This could
potentially result in a very large list object where each
list element has thousands of rows of at each rebalance
period.
The output from the GenSA solver does not store weights evaluated at each iteration The GenSA output for trace.mat contains nb.steps, temperature, function.value, and current.minimum
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.