R: Re-execute a random portfolio or optimization object

update.randportBurSt {PortfolioProbe}

R Documentation

Re-execute a random portfolio or optimization object

Description

Re-executes a call to random.portfolio or trade.optimizer, possibly with some arguments changed.

Usage

update.portfolBurSt(object, ..., evaluate = TRUE, checkinput = TRUE, 
	envir = parent.frame(), random.portfolio = FALSE)
update.randportBurSt(object, ..., evaluate = TRUE, checkinput = TRUE, 
	envir = parent.frame(), trade.optimizer = FALSE)

Arguments

`object`	object produced by `trade.optimizer` or `random.portfolio` (or `random.portfolio.utility`).
`...`	arguments to `random.portfolio` that should be added or changed from those in the initial call.
`evaluate`	logical value. If `TRUE` (the default), then the command is executed. If `FALSE`, then the (revised) call is returned. This argument needs to be given by its full name since it comes after the three-dots in the argument list.
`checkinput`	logical value. If `TRUE` (the default), then a check is made to see if the prices, variance, expected return and the existing portfolio are the same in the new call as the original call. Except that any of these are excluded from the test if they are arguments in the call to `update`. This argument needs to be given by its full name since it comes after the three-dots in the argument list.
`envir`	the environment in which the evaluation is to take place. This argument needs to be given by its full name since it comes after the three-dots in the argument list.
`random.portfolio`	logical value. If `TRUE`, then the call is changed so that `random.portfolio` rather than `trade.optimizer` is the function called. If the `control` argument is specifically in the call, then you will need to change `control`. This argument needs to be given by its full name since it comes after the three-dots in the argument list.
`trade.optimizer`	logical value. If `TRUE`, then the call is changed so that `trade.optimizer` rather than `random.portfolio` is the function called. If the `control` argument is specifically in the call, then you will need to change `control`. This argument needs to be given by its full name since it comes after the three-dots in the argument list.

Value

If evaluate is TRUE, then the possibly revised call is executed, producing a random portfolio object (of class "randportBurSt") – or an optimized portfolio object.

Details

Arguments that are changed need to use the exact same abbreviation (if any) as the original call. For instance, if in the original call net.value is abbreviated to net.val, then you need to use net.val if you want to change the net value allowed.

Revision

This help was last revised 2013 April 11.

Examples

randport1 <- random.portfolio(100, prices, variance=varian, 
	long.only=TRUE, bench.constr=c(spx=.04^2/252), 
	lin.constraints=cntrysect.conmat,
	lin.bounds=cntrysect.bounds, gross.value=1e6)

randport2 <- update(randport1) # same again
randport3 <- update(randport1, gross.value=1.5e6)

opt1 <- trade.optimizer(prices, variance=varian, 
	long.only=TRUE, bench.constr=c(spx=.04^2/252), 
	lin.constraints=cntrysect.conmat,
	lin.bounds=cntrysect.bounds, gross.value=1e6)

opt2 <- update(opt1, gross.value=1.5e6) 

randport4 <- update(opt1, number.rand=100, random.portfolio=TRUE)

[Package PortfolioProbe version 1.06 Index]