Usage
add.sub.portfolio(mult.portfolio, portfolio, optimize_method = c("DEoptim", "random", "ROI", "pso", "GenSA"), search_size = 20000, rp = NULL, rebalance_on = NULL, training_period = NULL, trailing_periods = NULL, ..., indexnum = NULL)
Arguments
mult.portfolio
a mult.portfolio.spec object
portfolio
a portfolio object to add as a sub portfolio.
optimize_method
optimization method for the sub portfolio
search_size
integer, how many portfolios to test, default 20,000
rp
matrix of random portfolio weights, default NULL, mostly for automated use by rebalancing optimization or repeated tests on same portfolios
rebalance_on
haracter string of period to rebalance on. See
endpoints for valid names. training_period
an integer of the number of periods to use as
a training data in the front of the returns data
trailing_periods
an integer with the number of periods to roll over
(i.e. width of the moving or rolling window), the default is NULL will
run using the returns data from inception
indexnum
the index number of the sub portfolio. If indexnum=NULL
(the default), then the sub portfolio object is appended to the list of
sub portfolios in the mult.portfolio object. If indexnum is
specified, the portfolio in that index number is overwritten.