if (FALSE) {
data(edhec)
R <- edhec[,1:4]
funds <- colnames(R)
portf <- portfolio.spec(funds)
portf <- add.constraint(portf, type="full_investment")
portf <- add.constraint(portf, type="long_only")
portf <- add.objective(portf, type="risk", name="StdDev")
# Quarterly rebalancing with 5 year training period
bt.opt1 <- optimize.portfolio.rebalancing(R, portf,
optimize_method="ROI",
rebalance_on="quarters",
training_period=60)
# Monthly rebalancing with 5 year training period and 4 year rolling window
bt.opt2 <- optimize.portfolio.rebalancing(R, portf,
optimize_method="ROI",
rebalance_on="months",
training_period=60,
rolling_window=48)
}
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