quadratic_utility_objective: constructor for quadratic utility objective
In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Value
Author(s)
Description
This function calls return_objective and
portfolio_risk_objective to create a list
of the objectives to be added to the portfolio.
Usage
1
2
quadratic_utility_objective(risk_aversion = 1,
target = NULL, enabled = TRUE)
Arguments
risk_aversion
risk_aversion (i.e. lambda)
parameter to penalize variance
target
target mean return value
enabled
TRUE/FALSE, default enabled=TRUE
Value
a list of two elements
return_objective
portfolio_risk_objective
Author(s)
Ross Bennett
R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.
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Description Usage Arguments Value Author(s)
Description
This function calls return_objective and
portfolio_risk_objective to create a list
of the objectives to be added to the portfolio.
Usage
1 2 | quadratic_utility_objective(risk_aversion = 1,
target = NULL, enabled = TRUE)
|
Arguments
risk_aversion |
risk_aversion (i.e. lambda) parameter to penalize variance |
target |
target mean return value |
enabled |
TRUE/FALSE, default enabled=TRUE |
Value
a list of two elements
return_objectiveportfolio_risk_objective
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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