optimize.portfolio.rebalancing: Portfolio Optimization with Rebalancing Periods

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

Description

Portfolio optimization with support for rebalancing periods for out-of-sample testing (i.e. backtesting)

Usage

  optimize.portfolio.rebalancing_v1(R, constraints,
    optimize_method = c("DEoptim", "random", "ROI"),
    search_size = 20000, trace = FALSE, ..., rp = NULL,
    rebalance_on = NULL, training_period = NULL,
    trailing_periods = NULL)

  optimize.portfolio.rebalancing(R, portfolio = NULL,
    constraints = NULL, objectives = NULL,
    optimize_method = c("DEoptim", "random", "ROI"),
    search_size = 20000, trace = FALSE, ..., rp = NULL,
    rebalance_on = NULL, training_period = NULL,
    trailing_periods = NULL)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
portfolio	an object of type "portfolio" specifying the constraints and objectives for the optimization
constraints	default NULL, a list of constraint objects
objectives	default NULL, a list of objective objects
optimize_method	one of "DEoptim", "random", "pso", "GenSA", or "ROI"
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 to optimize.portfolio
rp	a set of random portfolios passed into the function to prevent recalculation
rebalance_on	character string of period to rebalance on. See endpoints for valid names.
training_period	an integer of the number of periods to use as a training data in the front of the returns data
trailing_periods	an integer with the number of periods to roll over (i.e. width of the moving or rolling window), the default is NULL will run using the returns data from inception

Details

Run portfolio optimization with periodic rebalancing at specified time periods. Running the portfolio optimization with periodic rebalancing can help refine the constraints and objectives by evaluating the out of sample performance of the portfolio based on historical data

This function is a essentially a wrapper around optimize.portfolio and thus the discussion in the Details section of the optimize.portfolio help file is valid here as well.

This function is massively parallel and requires the 'foreach' package. It is suggested to register a parallel backend.

Value

a list containing the following elements

• portfolio: The portfolio object.

• R: The asset returns.

• call: The function call.

• elapsed_time: The amount of time that elapses while the optimization is run.

• opt_rebalancing: A list of optimize.portfolio objects computed at each rebalancing period.

Author(s)

Kris Boudt, Peter Carl, Brian G. Peterson

See Also

portfolio.spec optimize.portfolio

Examples

## Not run: 
data(edhec)
R <- edhec[,1:4]
funds <- colnames(R)

portf <- portfolio.spec(funds)
portf <- add.constraint(portf, type="full_investment")
portf <- add.constraint(portf, type="long_only")
portf <- add.objective(portf, type="risk", name="StdDev")

# Quarterly rebalancing with 5 year training period
bt.opt1 <- optimize.portfolio.rebalancing(R, portf,
optimize_method="ROI",
rebalance_on="quarters",
training_period=60)

# Monthly rebalancing with 5 year training period and 4 year trailing (moving window)
bt.opt2 <- optimize.portfolio.rebalancing(R, portf,
optimize_method="ROI",
rebalance_on="months",
training_period=60,
trailing_period=48)

## End(Not run)

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