PortfolioAnalytics: add.sub.portfolio – R documentation

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PortfolioAnalytics

add.sub.portfolio

Add sub-portfolio

Description

Add a sub-portfolio to a multiple layer portfolio specification object

Usage

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)

Arguments

`mult.portfolio`	a `mult.portfolio.spec` object
`portfolio`	a `portfolio` object to add as a sub portfolio.
`optimize_method`	optimization method for the sub portfolio
`search_size`	integer, how many portfolios to test, default 20,000
`rp`	matrix of random portfolio weights, default NULL, mostly for automated use by rebalancing optimization or repeated tests on same portfolios
`rebalance_on`	haracter string of period to rebalance on. See `endpoints` for valid names.
`training_period`	an integer of the number of periods to use as a training data in the front of the returns data
`trailing_periods`	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`
`indexnum`	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.

Author(s)

Ross Bennett

add.sub.portfolio

Description

Usage

Arguments

Author(s)

See Also

PortfolioAnalytics

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