generateOptimizationResultStats: generateOptimizationResultStats

In theteetrinker/CQFFA: CQF Final Project (Portfolio Optimization)

Description

generate Optimization Result Stats

Usage

generateOptimizationResultStats(out.of.sample.period.months = 24,
  investment.period.months = 12, daily.returns.data.wide,
  pf.opt.type = "mpt.min.var", use.covar.matrix = FALSE,
  covar.type = "sample", correl.type = "sample",
  vola.type = "sample", exp.return = "sample", target.return = NA,
  sum.weight = 1, min.single.weight = -100, max.single.weight = 100,
  alpha.cvar = NA, bl.risk.aversion.coeff = 3.07, bl.tau = 0.025,
  bl.market.cap.weights = NA, bl.ident.view.matrix = NA,
  bl.omega.matrix = NA, bl.view.vector = NA, in.sample = FALSE)

Arguments

out.of.sample.period.months	how many months are considered for the out of sample period
investment.period.months	number of months of the investment horizon before the next rebalancing happens
daily.returns.data.wide	data frame with returns with out of sample return data as well as data for the actual investment period
pf.opt.type	type of optimization, min.var,
covar.type	either sample of
correl.type	either sample of
vola.type	sample
exp.return	expected return of the assets, default is sample - meaning that we take historical asset return as a best predictor
target.return	default is NA
sum.weight	default is 1
min.single.weight	default is -100
max.single.weight	default is +100
alpha.cvar	Alpha parameter for CVaR optimization only, default is NA
in.sample	default is FALSE

Value

list with result data.frames: weights.result.table,

theteetrinker/CQFFA documentation built on July 17, 2019, 3:37 p.m.