Optimalisaties uitvoeren

Gevorderde portefeuilleanalyse in R

Ross Bennett

Instructor

Één-periode-optimalisatie

Één-periode-optimalisatie met optimize.portfolio()
Optimalisatie met periodiek herbalanceren (backtesten) met optimize.portfolio.rebalancing()

Één-periode-optimalisatie

optimize.portfolio(R, portfolio = NULL,
                   optimize_method = c("DEoptim", "random", "ROI", ...), 
                   search_size = 20000, trace = TRUE,        
                   momentFUN = "set.portfolio.moments",
                   ...)

optimize.portfolio.rebalancing(R, portfolio = NULL, 
                               optimize_method = c("DEoptim", "random", "ROI", ...),
                               search_size = 20000, trace = TRUE,
                               rebalance_on = "quarters",
                               training_period,
                               rolling_window, 
                               momentFUN = "set.portfolio.moments",
                               ...)

Optimalisatiemethoden

De volgende optimalisatiemethoden worden ondersteund:

Globale solvers:

DEoptim: Differential Evolution Optimization
random: Random Portfolios Optimization
GenSA: Generalized Simulated Annealing
pso: Particle Swarm Optimization

LP- en QP-solvers:

ROI: R Optimization Infrastructure voor lineaire en kwadratische programmeer-solvers

data(edhec)
ret <- edhec[,1:6]

# Portfolio
p <- portfolio.spec(assets = colnames(ret))
p <- add.constraint(portfolio = p, type = "full_investment")
p <- add.constraint(portfolio = p, type = "long_only")
p <- add.objective(portfolio = p, type = "risk", name = "StdDev")


# Optimalisaties
opt_single <- optimize.portfolio(R = ret, portfolio = p, optimize_method = "ROI")


opt_rebal <- optimize.portfolio.rebalancing(R = ret, portfolio = p,
                                            optimize_method = "ROI", 
                                            rebalance_on = "years",
                                            training_period = 60,
                                            rolling_window = 60)

Laten we oefenen!

Gevorderde portefeuilleanalyse in R