gmv_opt_toc {PortfolioAnalytics} | R Documentation |
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 |
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
[Package PortfolioAnalytics version 1.1.0 Index]