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

Question

使用optimize.portfolio.rebalancing运行optimize_method="random"时出现了一个错误。错误是：

杠杆约束min_sum和max_sum是限制性的，考虑放松。例如，'full_investment‘约束应该是min_sum=0.99和max_sum=1.01。

我试图用以下方式修改代码：

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)

但是代码仍然不能工作。任何建议都将不胜感激！

原始代码如下：

    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"

Answer 1

我知道现在已经很晚了，但这可能是将来的参考。

port_spec <- add.constraint( portfolio = port_spec,
                             type = "box",
                             min = 0,
                             max= 1 )

增加这个约束为我解决了这个问题。