etl_opt {PortfolioAnalytics} | R Documentation |
Minimum ETL LP Optimization
Description
This function is called by optimize.portfolio to solve minimum ETL problems.
Usage
etl_opt(R, constraints, moments, target, alpha, solver = "glpk",
control = NULL)
Arguments
R |
xts object of asset returns |
constraints |
object of constraints in the portfolio object extracted with |
moments |
object of moments computed based on objective functions |
target |
target return value |
alpha |
alpha value for ETL/ES/CVaR |
solver |
solver to use |
control |
list of solver control parameters |
Author(s)
Ross Bennett
[Package PortfolioAnalytics version 1.1.0 Index]