etl_milp_opt: Minimum ETL MILP Optimization

Description Usage Arguments Author(s)

Description

This function is called by optimize.portfolio to solve minimum ETL problems via mixed integer linear programming.

Usage

1
2
  etl_milp_opt(R, constraints, moments, target, alpha,
    solver = "glpk", control = NULL)

Arguments

R

xts object of asset returns

constraints

object of constraints in the portfolio object extracted with get_constraints

moments

object of moments computed based on objective functions

target

target return value

alpha

alpha value for ETL/ES/CVaR

solver

solver to use

control

list of solver control parameters

Author(s)

Ross Bennett


R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.