objective {portfolio.optimization}

Set new objective of a portfolio.model

Description

objective sets a new objective for VaR and Expected Shortfall

Usage

objective(model, objective = "markowitz")

Arguments

model

the portfolio.model to be changed

objective

the new objective

Value

the adapted portfolio.model

Author(s)

Ronald Hochreiter, [e-mail]

Examples

data(sp100w17av30s)
model <- portfolio.model(scenario.set)
mad <- optimal.portfolio(objective(model, "mad"))