Description Usage Arguments Value Author(s) See Also
2 step utility maximization including tranasaction costs as a penalty
1 2 | TransactionCostOpt(returns, lambda, w.initial, c,
long.only = FALSE, niterations = 1, max.iter = 10)
|
returns |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
lambda |
a risk aversion parameter |
w.initial |
initial vector of portfolio weights. Length of the vector must be equal to ncol(returns) |
c |
transaction costs. Must be a single value or a vector of length equal to ncol(returns) |
long.only |
optional long only constraint. Defaults to FALSE |
returns a list with portfolio weights, return, and variance
James Hobbs
data(Returns) opt <- TransactionCostOpt(large.cap.returns,w.initial=rep(1/100,100), lambda=1,c=.0005)
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