optimal wight # Add constraints portfolio <- add.constraint(portfolio, type = "full_investment") portfolio <- add.constraint(portfolio, type = "box", min = 0, max = 1) # Add objective to maximize the Sharpe Ratio portfolio <- add.objective(portfolio, type = "risk", name = "StdDev") portfolio <- add.objective(portfolio, type = "return", name = "mean", target = 0.35/109) portfolio <- add.objective(portfolio, type = "risk_adjusted_return", name = "SharpeRatio", risk_free_rate = risk_free_rate) opt_portfolio_deoptim <- optimize.portfolio(R = returns_xts, portfolio = portfolio, optimize_method = "DEoptim", trace = TRUE) #

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