risk_budget_objective {PortfolioAnalytics} | R Documentation |
constructor for class risk_budget_objective
Description
constructor for class risk_budget_objective
Usage
risk_budget_objective(
assets,
name,
target = NULL,
arguments = NULL,
multiplier = 1,
enabled = TRUE,
...,
min_prisk,
max_prisk,
min_concentration = FALSE,
min_difference = FALSE
)
Arguments
assets |
vector of assets to use, should come from constraints object |
name |
name of the objective, should correspond to a function, though we will try to make allowances |
target |
univariate target for the objective |
arguments |
default arguments to be passed to an objective function when executed |
multiplier |
multiplier to apply to the objective, usually 1 or -1 |
enabled |
TRUE/FALSE |
... |
any other passthru parameters |
min_prisk |
minimum percentage contribution to risk |
max_prisk |
maximum percentage contribution to risk |
min_concentration |
TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL |
min_difference |
TRUE/FALSE whether to minimize difference between concentration, default FALSE |
Value
object of class 'risk_budget_objective'
Author(s)
Brian G. Peterson
[Package PortfolioAnalytics version 2.0.0 Index]