gmv_opt_toc: GMV/QU QP Optimization with Turnover Constraint

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with turnover constraint

Usage

gmv_opt_toc(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.