Create and specify a multiple layer portfolio
mult.portfolio.spec(portfolio, levels = 2, ...)a mult.portfolio.spec object with the top level portfolio
and sub portfolios with optimization parameters for each sub portfolio
the "top level" portfolio
number of levels of sub-portfolios
any additional parameters
Ross Bennett
The sub.portfolios slot is a list where each element contains the
portfolio object and rebalancing parameters for the optimization of the
sub portfolio.
This allows, for example, each sub portfolio to have different rebalancing
frequencies (i.e. monthly or quarterly), optimization methods, etc.
Each sub portfolio is optimized with optimize.portfolio.rebalancing
to create a time series of proxy returns.
The "top level" portfolio is used to specify the constraints and objectives to control the optimization given the proxy returns of each sub portfolio.