etl_milp_opt: Minimum ETL MILP Optimization

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

Minimum ETL MILP Optimization

Description

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

Usage

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

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