constraint_ROI: constructor for class constraint_ROI

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

constructor for class constraint_ROI

Description

constructor for class constraint_ROI

Usage

constraint_ROI(
  assets = NULL,
  op.problem,
  solver = c("glpk", "quadprog"),
  weight_seq = NULL
)

Arguments

assets	number of assets, or optionally a named vector of assets specifying seed weights
op.problem	an object of type "OP" (optimization problem, of ROI) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.
solver	string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for glpk and quadprog.
weight_seq	seed sequence of weights, see generatesequence

Author(s)

Hezky Varon

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.