Expected Shortfall Porfolio Optimization using Symphony

Example Qbit to optimize the portfolio weights of hedge fund returns (EDHEC) based on Expecated Shortfall (ES) and the Symphony optimizer.

library(PortfolioAnalytics)
library(ROI)
library(ROI.plugin.symphony)
library(ggplot2)

optimize_porfolio <- function(R, long_only = FALSE) {
    #' Set up initial portfolio with basic constraints.
    init.portf <- portfolio.spec(assets=funds)
    init.portf <- add.constraint(portfolio=init.portf, type="full_investment")
    if (long_only) {
      init.portf <- add.constraint(portfolio=init.portf, type="long_only")
    }

    #' Add objectives.
    mines.portf <- add.objective(portfolio=init.portf, type="risk", name="ES")
    opt.mines.symphony <- optimize.portfolio(R, mines.portf, optimize_method="symphony")
    opt.mines.symphony
    weights_df <- data.frame(
      assets = colnames(R), 
      weights = opt.mines.symphony$weights)

    p <- ggplot(weights_df) + 
      geom_col(aes(assets, weights)) + 
      coord_flip()
    plot(p)

    weights_df
}

data(edhec)
R <- edhec
funds <- colnames(R)
optimize_porfolio(R)
optimize_porfolio(R, TRUE)