Objective measure values
This exercise is a continuation of the last exercises analysing the output of opt
and opt_rebal
. All objectives in the portfolio specification are evaluated during the optimization and the values can be extracted with extractObjectiveMeasures()
. The objective measures are an important component of the optimization output to analyze. An important use case looks at the result of each iteration/trial of the optimizer. This can give you insight into how the optimizer approaches the optimal solution and potentially tune parameters. We can also analyse the distribution of the in-sample objective values of the optimal portfolios and compare to out-of-sample performance.
This exercise is part of the course
Intermediate Portfolio Analysis in R
Exercise instructions
- Extract the objective measures for the single period optimization.
- Extract the objective measures for the optimization backtest.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Extract the objective measures for the single period optimization
# Extract the objective measures for the optimization backtest