PortfolioOptimisers.jl

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Optimisation Cross Validation ​

PortfolioOptimisers.OptimisationCrossValidation Type
julia
struct OptimisationCrossValidation{__T_cv, __T_scorer} <: AbstractEstimator

Wraps a cross-validation scheme and an optional scorer to form a complete optimisation cross-validation pipeline.

Fields

  • cv::OptCVER: Cross-validation scheme (e.g. KFold or WalkForwardEstimator).

  • scorer::Option{<:PredictionCrossValScorer}: Optional scorer used to select a single prediction from the cross-validation results. Defaults to nothing.

Constructors

julia
OptimisationCrossValidation(;
    cv::OptCVER = KFold(),
    scorer::Option{<:PredictionCrossValScorer} = nothing
) -> OptimisationCrossValidation

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