gmv_opt_ptc: GMV/QU QP Optimization with Proportional Transaction Cost...
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Author(s)
Description
This function is called by optimize.portfolio to solve minimum variance or
maximum quadratic utility problems with proportional transaction cost constraint
Usage
1
2
gmv_opt_ptc(R, constraints, moments, lambda, target, init_weights,
solver = "quadprog", control = NULL)
Arguments
R
xts object of asset returns
constraints
object of constraints in the portfolio object extracted with get_constraints
moments
object of moments computed based on objective functions
lambda
risk_aversion parameter
target
target return value
init_weights
initial weights to compute turnover
solver
solver to use
control
list of solver control parameters
Author(s)
Ross Bennett
PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.
R Package Documentation
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Description Usage Arguments Author(s)
Description
This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with proportional transaction cost constraint
Usage
1 2 | gmv_opt_ptc(R, constraints, moments, lambda, target, init_weights,
solver = "quadprog", control = NULL)
|
Arguments
R |
xts object of asset returns |
constraints |
object of constraints in the portfolio object extracted with |
moments |
object of moments computed based on objective functions |
lambda |
risk_aversion parameter |
target |
target return value |
init_weights |
initial weights to compute turnover |
solver |
solver to use |
control |
list of solver control parameters |
Author(s)
Ross Bennett
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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