optimal.portfolio function

Meta-function to optimize portfolios given a portfolio.model instance

optimal.portfolio optimizes the portfolio of a model given the current specification

optimal.portfolio(input = NULL, ...)

p.opt(input = NULL, ...)

opt.p(input = NULL, ...)

Arguments

• input: either a portfolio.model or something to convert to a new model
• ...: other parameters to be passed on to the optimization sub-functions.

Returns

an S3 object of class portfolio.model with the optimized portfolio.

Examples

data(sp100w17av30s)
model <- optimal.portfolio(scenario.set)

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance