optimize.portfolioThis function will dispatch to the appropriate class handler based on the input class of the optimize.portfolio output object.
extractStats(object, prefix = NULL, ...)list returned by optimize.portfolio
prefix to add to output row names
any other passthru parameters
For optimize.portfolio objects:
In general, extractStats will extract the values objective measures
and weights at each iteration of a set of weights. This is the case for the
DEoptim, random portfolios, and pso solvers that return trace information.
Note that trace=TRUE must be specified in optimize.portfolio
to return the trace information.
For optimize.portfolio.pso objects, this function will extract the
weights (swarm positions) from the PSO output and the out values
(swarm fitness values) for each iteration of the optimization.
This function can be slow because we need to run constrained_objective
to calculate the objective measures on the transformed weights.
For optimize.portfolio.rebalancing objects:
The extractStats function will return a list of the objective measures
and weights at each rebalance date for optimize.portfolio.rebalancing
objects. The objective measures and weights of each iteration or permutation
will be returned if the optimization was done with DEoptim, random portfolios,
or pso. This could potentially result in a very large list object where each
list element has thousands of rows of at each rebalance period.
The output from the GenSA solver does not store weights evaluated at each iteration The GenSA output for trace.mat contains nb.steps, temperature, function.value, and current.minimum
optimize.portfolio