PortfolioEffectHFT (version 1.6)

optimization_constraint_portfolioValue: Portfolio Optimization - Portfolio Value Constraint

Description

Adds portfolio optimization constraint restricting optimal portfolio's monetary value to a certain number at every step of optimization algorithm.

Usage

optimization_constraint_portfolioValue(optimizer,
constraintValue)

Arguments

optimizer

Optimizer object created using optimization_goal( ) function

constraintValue

Portfolio value that should be used to compute resulting position quantities based on optimal weights

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,"SharpeRatio","maximize")
# optimizer=optimization_constraint_portfolioValue(optimizer,10^9)
# optimalPortfolio<-optimization_run(optimizer)
# print(optimalPortfolio)
# ## End(Not run)