maxret_milp_opt: Maximum Return MILP Optimization

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

Maximum Return MILP Optimization

Description

This function is called by optimize.portfolio to solve maximum return problems via mixed integer linear programming.

Usage

maxret_milp_opt(
  R,
  constraints,
  moments,
  target,
  solver = "glpk",
  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
target	target return value
solver	solver to use
control	list of solver control parameters

Author(s)

Ross Bennett

PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.