optimize.portfolio.parallel: execute multiple optimize.portfolio calls, presumably in...

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

Description

TODO write function to check sensitivity of optimal results by using optimize.portfolio.parallel results

Usage

  optimize.portfolio.parallel(R, constraints,
    optimize_method = c("DEoptim", "random"),
    search_size = 20000, trace = FALSE, ..., nodes = 4)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
constraints	an object of type "constraints" specifying the constraints for the optimization, see constraint
optimize_method	one of "DEoptim" or "random"
search_size	integer, how many portfolios to test, default 20,000
trace	TRUE/FALSE if TRUE will attempt to return additional information on the path or portfolios searched
...	any other passthru parameters
nodes	how many processes to run in the foreach loop, default 4

Details

This function will not speed up optimization!

This function exists to run multiple copies of optimize.portfolio, presumabley in parallel using foreach.

This is typically done to test your parameter settings, specifically total population size, but also possibly to help tune your convergence settings, number of generations, stopping criteria, etc.

If you want to use all the cores on your multi-core computer, use the parallel version of the apppropriate optimization engine, not this function.

Value

a list containing the optimal weights, some summary statistics, the function call, and optionally trace information

Author(s)

Kris Boudt, Peter Carl, Brian G. Peterson

R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.