[R-SIG-Finance] input parameters for optimize.portfolio.rebalancing() in PortfolioAnalytics

Alec Schmidt aschmid1 at stevens.edu
Wed Mar 21 17:40:17 CET 2018

Previous message (by thread): [R-SIG-Finance] Minimizing tracking error with restricted number of stocks
Next message (by thread): [R-SIG-Finance] Error using Performance Analytics package
Messages sorted by: [ date ] [ thread ] [ subject ] [ author ]

I have a sample of daily portfolio returns and would like to estimate the weights using 252-day periods, starting with the 1st day of the sample, and do rebalancing every 126 days. How do I define the following parameters:
   rebalance_on,
   training_period,
  rolling_window 

Thank you, Alec

Previous message (by thread): [R-SIG-Finance] Minimizing tracking error with restricted number of stocks
Next message (by thread): [R-SIG-Finance] Error using Performance Analytics package
Messages sorted by: [ date ] [ thread ] [ subject ] [ author ]

More information about the R-SIG-Finance mailing list