turnover_objective: constructor for class turnover_objective

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

Description

if target is null, we'll try to minimize the turnover metric

Usage

turnover_objective(name, target = NULL, arguments = NULL, multiplier = 1,
  enabled = TRUE, ...)

Arguments

name	name of the objective, should correspond to a function, though we will try to make allowances
target	univariate target for the objective
arguments	default arguments to be passed to an objective function when executed
multiplier	multiplier to apply to the objective, usually 1 or -1
enabled	TRUE/FALSE
...	any other passthru parameters

Details

if target is set, we'll try to meet the metric

Value

an objective of class 'turnover_objective'

Author(s)

Ross Bennett

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.