Custom objective function
A key feature of PortfolioAnalytics is that the name for an objective is a valid R function. The package was designed to be flexible and modular, and custom objective functions are a great example of this. A few guidelines should be followed for defining a custom moment function:
- The objective function must return a single value for the optimizer to minimize or maximize.
- It is strongly encouraged to use
Rfor the asset returns andweightsfor the portfolio weights.
These argument names are detected automatically and handled in an efficient manner. Any other arguments for the objective function can be passed in as a named list to arguments in the add.objective() function.
Cet exercice fait partie du cours
Intermediate Portfolio Analysis in R
Instructions
- Define a custom objective function to compute portfolio annualized standard deviation.
Exercice interactif pratique
Essayez cet exercice en complétant cet exemple de code.
# Custom annualized portfolio standard deviation
pasd <- function(___, ___, sigma, scale = 12){
sqrt(as.numeric(t(___) %*% ___ %*% ___)) * sqrt(scale)
}