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Optimisation Cross Validation

PortfolioOptimisers.OptimisationCrossValidation — Type
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: Cross-validation estimator.
  • scorer: Scoring function. Given the orientation-normalised score matrix (rows = CV splits, columns = parameter sets), it returns the column index of the best parameter set. The matrix is normalised so that higher is always better, whatever the risk measure, so a scorer selects the largest aggregate score (see CrossValidationSearchScorer).

Constructors

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

Keywords correspond to the struct's fields.

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