maxret_milp_opt: Maximum Return MILP Optimization
In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Author(s)
Description
This function is called by optimize.portfolio to solve
maximum return problems via mixed integer linear
programming.
Usage
1
2
maxret_milp_opt(R, constraints, moments, target,
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
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.
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Description Usage Arguments Author(s)
Description
This function is called by optimize.portfolio to solve maximum return problems via mixed integer linear programming.
Usage
1 2 | maxret_milp_opt(R, constraints, moments, target,
solver = "glpk", control = NULL)
|
Arguments
R |
xts object of asset returns |
constraints |
object of constraints in the portfolio
object extracted with |
moments |
object of moments computed based on objective functions |
target |
target return value |
solver |
solver to use |
control |
list of solver control parameters |
Author(s)
Ross Bennett
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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