turnover {PortfolioAnalytics}

Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with add.objective

Description

Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with add.objective

Usage

turnover(weights, wts.init = NULL)

Arguments

weights

vector of weights from optimization

wts.init

vector of initial weights used to calculate turnover from

Author(s)

Ross Bennett