Hi quant people,
I intend to implement the portfolio optimization, which is total different from Optimize API in relation to objective function and constraints and optimization method. I want to optimize the portfolio based on sharpe ratio with PSO. Therefor I need to repeatedly create a portfolio and calculate its return.
My Question is now, how I can implement the portfolio construction. Imagine system has chosen a set of securities based on Alpha Combination. How can they be wrapped in a portfolio and traced its performance iteratively?
Is it in research environment possible? how about IDE environment?
Thank you in advance!