etl_opt | R Documentation |
This function is called by optimize.portfolio to solve minimum ETL problems.
etl_opt(
R,
constraints,
moments,
target,
alpha,
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 |
alpha |
alpha value for ETL/ES/CVaR |
solver |
solver to use |
control |
list of solver control parameters |
Ross Bennett
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