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Exercise

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.

Instructions

100 XP
  • Extract the objective measures for the single period optimization.
  • Extract the objective measures for the optimization backtest.