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Exercice

Optimal weights

This exercise is a continuation of the last exercises analysing the the output of opt and opt_rebal. Extracting and visualizing the optimal weights is an important component of the optimization. The optimal weights can be extracted with extractWeights() and charted with chart.Weights(). This is particularly useful for backtests to understand the evolution of weights over time. We can then answer questions about how allocations change through time.

Instructions

100 XP
  • Extract the optimal weights for the single period optimization.
  • Chart the weights for the single period optimization.
  • Extract the optimal weights for the optimization backtest.
  • Chart the weights for the optimization backtest.