运行优化

R 中级投资组合分析

Ross Bennett

Instructor

单期优化

使用 optimize.portfolio() 进行单期优化
使用 optimize.portfolio.rebalancing() 进行带定期再平衡的优化（回测）

单期优化

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",
                               ...)

优化方法

支持以下优化方法：

全局求解器：

DEoptim：差分进化优化
random：随机组合优化
GenSA：广义模拟退火Analyze optimization results
pso：粒子群优化

线性/二次规划求解器：

ROI：R 优化基础设施（线性与二次规划）

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")


# Optimizations
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)

开始练习！

R 中级投资组合分析