gmv_opt_toc {PortfolioAnalytics}

GMV/QU QP Optimization with Turnover Constraint

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with turnover constraint

Usage

gmv_opt_toc(
  R,
  constraints,
  moments,
  lambda,
  target,
  init_weights,
  solver = "quadprog",
  control = NULL
)

Arguments

R

xts object of asset returns

constraints

object of constraints in the portfolio object extracted with get_constraints

moments

object of moments computed based on objective functions

lambda

risk_aversion parameter

target

target return value

init_weights

initial weights to compute turnover

solver

solver to use

control

list of solver control parameters

Author(s)

Ross Bennett