Optimization with custom objective function
This exercise builds on the previous exercise and we will run the optimization with the custom objective function that computes portfolio annualized standard deviation. Because an objective function can be any valid R function, we add a risk objective for the pasd() function. The set.portfolio.moments() function will not recognize the pasd() objective name, so we need to create a custom moment function to calculate the second moment, sigma. We will solve the problem using random portfolios as the optimization method.
Este exercício faz parte do curso
Intermediate Portfolio Analysis in R
Instruções do exercício
- Add the custom objective function you created in the previous exercise to the portfolio specification object.
- Print the portfolio specification object to see the constraints and objective.
- Run the optimization. The name of the custom moment function is
set_sigma. - Print the results of the optimization.
Exercício interativo prático
Experimente este exercício completando este código de exemplo.
# Add custom objective to portfolio specification
port_spec <- add.objective(portfolio = ___, type = ___, name = ___)
# Print the portfolio specificaton object
# Run the optimization
opt <- optimize.portfolio(R = ___, portfolio = ___, momentFUN = ___, optimize_method = "random", rp = rp)
# Print the results of the optimization