add.sub.portfolio: Add sub-portfolio

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Add sub-portfolio

Description

Add a sub-portfolio to a multiple layer portfolio specification object

Usage

add.sub.portfolio(
  mult.portfolio,
  portfolio,
  optimize_method = c("DEoptim", "random", "ROI", "pso", "GenSA"),
  search_size = 20000,
  rp = NULL,
  rebalance_on = NULL,
  training_period = NULL,
  trailing_periods = NULL,
  ...,
  indexnum = NULL
)

Arguments

mult.portfolio	a mult.portfolio.spec object
portfolio	a portfolio object to add as a sub portfolio.
optimize_method	optimization method for the sub portfolio
search_size	integer, how many portfolios to test, default 20,000
rp	matrix of random portfolio weights, default NULL, mostly for automated use by rebalancing optimization or repeated tests on same portfolios
rebalance_on	haracter 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
...	additonal passthrough parameters to optimize.portfolio.rebalancing
indexnum	the index number of the sub portfolio. If indexnum=NULL (the default), then the sub portfolio object is appended to the list of sub portfolios in the mult.portfolio object. If indexnum is specified, the portfolio in that index number is overwritten.

Author(s)

Ross Bennett

See Also

mult.portfolio.spec portfolio.spec optimize.portfolio optimize.portfolio.rebalancing

braverock/PortfolioAnalytics documentation built on June 11, 2025, 3:40 a.m.