gmv_opt_ptc: GMV/QU QP Optimization with Proportional Transaction Cost...

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

GMV/QU QP Optimization with Proportional Transaction Cost Constraint

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with proportional transaction cost constraint

Usage

gmv_opt_ptc(
  R,
  constraints,
  moments,
  lambda,
  target,
  init_weights,
  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
init_weights	initial weights to compute turnover
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.