Description Usage Arguments Author(s)
This function is called by optimize.portfolio to solve maximum return
1 2 | maxret_opt(R, moments, constraints, target,
solver = "glpk", control = NULL)
|
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 |
Ross Bennett
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