PortfolioEffectHFT (version 1.7)

optimization_run: Portfolio Optimization - Runs Optimization Algorithm

Description

Runs portfolio optimization procedure and returns corresponding optimal portfolio.

Usage

optimization_run(optimizer)

Arguments

optimizer

Optimizer object created using optimization_goal( ) function

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')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# optimizer=optimization_goal(portfolio,goal="Return", direction="maximize")
# optimizer=optimization_constraint_beta(optimizer,"<=",0.5)
# optimization_run(optimizer)
# ## End(Not run)