PortfolioEffectHFT (version 1.7)

optimization_goal: Porfolio Optimization - Set Optimization Goal

Description

Initializes portfolio optimization goals and returns newly constructed optimizer object.

Usage

optimization_goal(goal,
		direction=c("min","max"),
		approxError=1e-12,
		optimumProbability=0.99)

Arguments

goal

Object of class metric to be used as an optimization goal

direction

choose direction of optimization algorithm: "min" - maximization goal, "max" - minimization goal

approxError

Estimation error in decimal points for computing optimal weights. Smaller value slows down optimization algorithm, but increases precision.

optimumProbability

Required probability level of a global optimum. Higher value slows down optimization algorithm, but increases chance of finding globally optimal solution.

Value

Optimizer object.

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')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# optimizer=optimization_goal(log_return(portfolio),"max")
# optimizer=optimization_constraint(optimizer,beta(portfolio),"<=",0.5)
# optimalPortfolio=optimization_run(optimizer)
# print(optimalPortfolio)
# ## End(Not run)