quadratic_utility_objective {PortfolioAnalytics}

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