Add a sub-portfolio to a multiple layer portfolio specification object
add.sub.portfolio(
mult.portfolio,
portfolio,
optimize_method = c("DEoptim", "random", "ROI", "pso", "GenSA"),
search_size = 20000,
rp = NULL,
rebalance_on = NULL,
training_period = NULL,
trailing_periods = NULL,
...,
indexnum = NULL
)
a mult.portfolio.spec
object
a portfolio
object to add as a sub portfolio.
optimization method for the sub portfolio
integer, how many portfolios to test, default 20,000
matrix of random portfolio weights, default NULL, mostly for automated use by rebalancing optimization or repeated tests on same portfolios
haracter string of period to rebalance on. See
endpoints
for valid names.
an integer of the number of periods to use as a training data in the front of the returns data
an integer with the number of periods to roll over (i.e. width of the moving or rolling window), the default is NULL will run using the returns data from inception
additonal passthrough parameters to optimize.portfolio.rebalancing
the index number of the sub portfolio. If indexnum=NULL
(the default), then the sub portfolio object is appended to the list of
sub portfolios in the mult.portfolio
object. If indexnum
is
specified, the portfolio in that index number is overwritten.
Ross Bennett
mult.portfolio.spec
portfolio.spec
optimize.portfolio
optimize.portfolio.rebalancing