maxret_opt: Maximum Return LP Optimization
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
maxret_opt R Documentation
Maximum Return LP Optimization
Description
This function is called by optimize.portfolio to solve maximum return
Usage
maxret_opt(R, moments, constraints, target, solver = "glpk", control = NULL)
Arguments
R
xts object of asset returns
moments
object of moments computed based on objective functions
constraints
object of constraints in the portfolio object extracted with get_constraints
target
target return value
solver
solver to use
control
list of solver control parameters
Author(s)
Ross Bennett
PortfolioAnalytics documentation built on July 4, 2024, 1:06 a.m.
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| maxret_opt | R Documentation |
Maximum Return LP Optimization
Description
This function is called by optimize.portfolio to solve maximum return
Usage
maxret_opt(R, moments, constraints, target, solver = "glpk", control = NULL)
Arguments
R |
xts object of asset returns |
moments |
object of moments computed based on objective functions |
constraints |
object of constraints in the portfolio object extracted with |
target |
target return value |
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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