[GSoC-PortA] Constraints and Objectives Separately in Optimize.Portfolio

[Brian G. Peterson]

On 07/28/2013 01:50 PM, Doug Martin wrote:
> */[Doug] Indeed, this is crucial.  I did the following with backtest
> code I used in the spring – it has a function backtest.weight that
> generates the time series of rebalanced weights, and looks like this
> locally (one of a bunch of examples):/*
>
> *//*
>
> */weight.mvlub <- backtest.weight(ret, t.mw, FUN =
> "port.mvlub",blo,bup)$weight/*
>
> */weight.mveq <- backtest.weight(ret, t.mw, port.eq)$weight/*
>
> *//*
>
> */So I’m wondering if we can’t have FUN = optimize.portfolio, and pass
> the arguments for constraints and/or ojbectives as in the case of blo
> and bup for each instance of executing backtest.weight?  I will, as we
> discussed in Hood River, end up using the PortfolioAnalytics backtest
> capability./*
>
> *//*
>

Well, optimize.portfolio.rebalancing already exists, and I think covers 
thae most common use case of periodic rebalancing of a portfolio for an 
'out of sample' test of your portfolio specification (w/ 
constraints/objectives).

optimize.portfolio.rebalancing already returns the weights used for each 
rebalancing period, as well as the out of sample returns of the portfolio.


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock