[Returnanalytics-commits] r2048 - pkg/PortfolioAnalytics/R

[noreply at r-forge.r-project.org]

Author: hezkyvaron
Date: 2012-06-23 03:43:58 +0200 (Sat, 23 Jun 2012)
New Revision: 2048

Modified:
   pkg/PortfolioAnalytics/R/optimize.portfolio.R
Log:
- added "ROI" to optimize.portfolio.rebalancing optimize_methods

Modified: pkg/PortfolioAnalytics/R/optimize.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/optimize.portfolio.R	2012-06-22 02:13:02 UTC (rev 2047)
+++ pkg/PortfolioAnalytics/R/optimize.portfolio.R	2012-06-23 01:43:58 UTC (rev 2048)
@@ -277,7 +277,7 @@
 #' @return a list containing the optimal weights, some summary statistics, the function call, and optionally trace information 
 #' @author Kris Boudt, Peter Carl, Brian G. Peterson
 #' @export
-optimize.portfolio.rebalancing <- function(R,constraints,optimize_method=c("DEoptim","random"), search_size=20000, trace=FALSE, ..., rp=NULL, rebalance_on=NULL, training_period=NULL, trailing_periods=NULL)
+optimize.portfolio.rebalancing <- function(R,constraints,optimize_method=c("DEoptim","random","ROI"), search_size=20000, trace=FALSE, ..., rp=NULL, rebalance_on=NULL, training_period=NULL, trailing_periods=NULL)
 {
     stopifnot("package:foreach" %in% search() || require("foreach",quietly=TRUE))
     start_t<-Sys.time()