TransactionCostOpt: Quadratic Portfolio Optimization with transaction costs

In R-Finance/MPO: Modern Portfolio Optimization

Description

2 step utility maximization including tranasaction costs as a penalty

Usage

  TransactionCostOpt(returns, lambda, w.initial, c,
    long.only = FALSE, niterations = 1, max.iter = 10)

Arguments

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

Value

returns a list with portfolio weights, return, and variance

Author(s)

James Hobbs

See Also

TransCostFrontier

data(Returns) opt <- TransactionCostOpt(large.cap.returns,w.initial=rep(1/100,100), lambda=1,c=.0005)

R-Finance/MPO documentation built on May 8, 2019, 3:52 a.m.