Question

使用optimize_method="random"运行port_spec <- portfolio.spec(assets=colnames(asset_returns), weight_seq=generatesequence(min=0, max=1, by=0.002)) port_spec$constraints[[1]]$min_sum=0.99 port_spec$constraints[[1]]$max_sum=1.01 port_spec <- add.constraint(portfolio=port_spec, type="box", min=0, max=0.5)时出现错误。错误是：

“杠杆约束min_sum和max_sum是限制性的，请考虑放松。例如'full_investment'约束应为min_sum = 0.99和max_sum = 1.01”。

我尝试使用以下内容修改代码：

    library(PortfolioAnalytics)

   data(edhec)

    asset_returns <- edhec

    port_spec <- portfolio.spec(assets=colnames(asset_returns))

# Add a full investment constraint such that the weights sum to 1

    port_spec <- add.constraint(portfolio=port_spec, type="full_investment")

# Add a long only constraint such that the weight of an asset is between 0 and 1

    port_spec <- add.constraint(portfolio=port_spec, type="long_only")


# Add an objective to minimize portfolio standard deviation

    port_spec <- add.objective(portfolio=port_spec, type="risk", name="StdDev")

# Add a risk budget objective

    port_spec <- add.objective(portfolio = port_spec, 
                               type = "risk_budget", 
                               name = "StdDev", 
                               min_prisk = 0.01, 
                               max_prisk = 0.4)

# Print the portfolio specification

    print(port_spec)

# Run the optimization

    rp <- 50
    opt_rebal_rb <- optimize.portfolio.rebalancing(R = asset_returns, 
                                                   portfolio = port_spec, 
                                                   optimize_method = "random", rp =rp,
                                                   trace = TRUE,
                                                   rebalance_on = "quarters", 
                                                   training_period = 60,
                                                   rolling_window = 60)
    print(opt_rebal_rb)

# Chart the weights

    chart.Weights(opt_rebal_rb)

# Chart the percentage contribution to risk

    chart.RiskBudget(opt_rebal_rb, match.col = "StdDev", risk.type = "percentage")

# Compute the portfolio returns

    returns_rb <- Return.portfolio(R = asset_returns, weights = extractWeights(opt_rebal_rb))
    colnames(returns_rb) <- "risk_budget"

，但是代码仍然无法正常工作。任何建议将不胜感激！

原始代码如下：

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R投资组合分析（带有随机优化器的optimize.portfolio.rebalancing函数不起作用）

0 个答案: