maxret_opt {PortfolioAnalytics} | R Documentation |
Maximum Return LP Optimization
Description
This function is called by optimize.portfolio to solve maximum return
Usage
maxret_opt(R, moments, constraints, target, solver = "glpk", control = NULL)
Arguments
R |
xts object of asset returns |
moments |
object of moments computed based on objective functions |
constraints |
object of constraints in the portfolio object extracted with |
target |
target return value |
solver |
solver to use |
control |
list of solver control parameters |
Author(s)
Ross Bennett
[Package PortfolioAnalytics version 2.0.0 Index]