optimal_sd: Return optimal(minimum) standard deviation portfolio

Description Usage Arguments Details Author(s) Examples

View source: R/optimal_sd.R

Description

This function allows you to calculate weight and target value of optimal standard deviation portfolio using integer linear programming

Usage

1
optimal_sd(df, lb = 0, ub = 100, digits = 3)

Arguments

df

portfolio return dataframe

lb

lower boundary of mixed linear constrainsts, in percentage

ub

upper boundary of mixed linear constrainsts, in percentage

digits

how many digits you want in your final result, default is 3

Details

The first column of dataframe should be "Date". Every variable is assumed to be >= 0.

Author(s)

Alfred

Examples

1
optimal_sd(df, lb=10, ub=50, digits=3)

Alfred-Zhang/ResearchTools documentation built on Nov. 23, 2017, 1:54 a.m.