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.
Este exercício faz parte do curso
Intermediate Portfolio Analysis in R
Instruções do exercício
- Define a custom objective function to compute portfolio annualized standard deviation.
Exercício interativo prático
Experimente este exercício completando este código de exemplo.
# Custom annualized portfolio standard deviation
pasd <- function(___, ___, sigma, scale = 12){
sqrt(as.numeric(t(___) %*% ___ %*% ___)) * sqrt(scale)
}