Menjalankan optimasi

Analisis Portofolio Tingkat Menengah di R

Ross Bennett

Instructor

Optimasi satu periode

Optimasi satu periode dengan optimize.portfolio()
Optimasi dengan rebalancing berkala (backtesting) dengan optimize.portfolio.rebalancing()

Optimasi satu periode

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",
                               ...)

Metode optimasi

Metode optimasi berikut didukung:

Global Solver:

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

Solver LP dan QP:

ROI: R Optimization Infrastructure untuk solver linear dan kuadratik

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")


# Optimasi
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)

Ayo berlatih!

Analisis Portofolio Tingkat Menengah di R