gmv_opt: GMV/QU QP Optimization

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

GMV/QU QP Optimization

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems

Usage

gmv_opt(
  R,
  constraints,
  moments,
  lambda,
  target,
  lambda_hhi,
  conc_groups,
  solver = "quadprog",
  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
lambda	risk_aversion parameter
target	target return value
lambda_hhi	concentration aversion parameter
conc_groups	list of vectors specifying the groups of the assets.
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.