getPort_opt: getPort_opt

In raphael210/RFactorModel: A quantative tool for investment by factor Model

Description

getPort_opt

Usage

getPort_opt(TSF, bmk = NULL, exp_rtn = "factorscore", risk_list = NULL,
  lamda = NULL, constr = constr_default(), init_port = NULL,
  min_wgt = 1e-04, optsolver = c("CVXR", "RMOSEK"))

Arguments

TSF	a TSF object,may contains multiple factors.
bmk	benchmark indexID code.
exp_rtn	a string, indicating the expected rtn column name. Or NULL, which means return part doesn't involved in the optimization.
lamda	numeric scalar, risk_aversion
constr	constrain lists,see opt_constrain.
init_port	if turnover constrain involved ,param init_port is required.
min_wgt	Numeric, or NULL. stock's minimum weight in optimized portfolio.

Value

a optimized port

Examples

TS <- getTS(RebDates = as.Date("2017-03-31"),indexID = "EI000300")
TSF <- getTSF(TS,FactorList = buildFactorList_lcfs("F000006",factorRefine = refinePar_default("scale")))
# constrain setting
constr <- constr_default(box_each = c(0,0.02))
constr <- addConstr_box(constr,each = c(0,0.02))
constr <- addConstr_fctExp_sector(constr,each = c(-0.05,0.05))
conslist <- buildFactorLists_lcfs("F000002",factorRefine = refinePar_default("scale",NULL))
# with bmk
constr <- addConstr_fctExp_style(constr,conslist,-0.1,0.1)
port_opt <- getPort_opt(TSF,bmk = "EI399330",constr = constr,exp_rtn = 'factorscore')
# without bmk
constr2 <- setConstr_fctExp_sector(constr,each = c(0,0.1),relative = 0)
port_opt2 <- getPort_opt(TSF,bmk=NULL,constr = constr2,exp_rtn = 'factorscore')
# long-short port
constr3 <- setConstr_position(constr_default(),position = c(0,0),relative = 0)
constr3 <- setConstr_box(constr3,each=c(-0.05,0.05),relative=0)
port_opt3 <- getPort_opt(TSF,bmk="EI000300",constr = constr3,exp_rtn = 'factorscore')

raphael210/RFactorModel documentation built on May 26, 2019, 11:06 p.m.