| quadratic_utility_objective {PortfolioAnalytics} | R Documentation |
constructor for quadratic utility objective
Description
This function calls return_objective and portfolio_risk_objective
to create a list of the objectives to be added to the portfolio.
Usage
quadratic_utility_objective(risk_aversion = 1, target = NULL, enabled = TRUE)
Arguments
risk_aversion |
risk_aversion (i.e. lambda) parameter to penalize variance |
target |
target mean return value |
enabled |
TRUE/FALSE, default enabled=TRUE |
Value
a list of two elements
-
return_objective -
portfolio_risk_objective
Author(s)
Ross Bennett
[Package PortfolioAnalytics version 2.0.0 Index]