optimalES: use the DEoptim algorithm to calculate the optimal ES by...

In zlfccnu/econophysics: Functions for econophysics

Description

use the DEoptim algorithm to calculate the optimal ES by using the box constriant

Usage

optimalES(
  stockNames,
  returns,
  wMin = 0,
  wMax = 1,
  searchSize = 50000,
  itermax = 200,
  min_sum = 0.99,
  max_sum = 1.01,
  p = 0.95,
  trace = FALSE
)

Arguments

stockNames	the ticker of stocks
returns	the return matrix of a bunch of stocks
wMin	the minimum weight of each stock
wMax	the maximum weight of each stock
searchSize	the search steps of DEoptim algorithm
itermax	the parameter for DEoptim.control function
min_sum	the minimum of the weight sum
max_sum	the maximum of the weight sum
p	the confidence level of the ES
trace	whether print the interctive process or not

Value

A numeric value

zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.