PortfolioEffectHFT (version 1.6)

optimization_constraint_modifiedSharpeRatio: Portfolio Optimization - Modified Sharpe Ratio Constraint

Description

Adds portfolio optimization constraint restricting optimal portfolio's modified Sharpe Ratio to a certain range.

Usage

optimization_constraint_modifiedSharpeRatio(optimizer,
constraintType=c("=", ">=", "<="), constraintvalue,="" confidenceinterval="0.95)

Arguments

optimizer

Optimizer object created using optimization_goal( ) function

constraintType

Optimization constraint type: "=" - an equality constraint, ">=" - an inclusive lower bound constraint, "

constraintValue

Value to be used as a constraint equality or boundary

confidenceInterval

Confidence interval (in decimals) to be used as a cut-off point.

Value

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300) 
# optimizer<-optimization_goal(portfolio,"Return","maximize")
# optimizer=optimization_constraint_modifiedSharpeRatio(optimizer,">=",0,0.99)
# optimalPortfolio<-optimization_run(optimizer)
# print(optimalPortfolio)
# ## End(Not run)