minmax_objective: constructor for class tmp_minmax_objective

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

constructor for class tmp_minmax_objective

Description

This objective allows for min and max targets to be specified.

Usage

minmax_objective(
  name,
  target = NULL,
  arguments = NULL,
  multiplier = 1,
  enabled = TRUE,
  ...,
  min,
  max
)

Arguments

name	name of the objective, should correspond to a function, though we will try to make allowances
target	univariate target for the objective
arguments	default arguments to be passed to an objective function when executed
multiplier	multiplier to apply to the objective, usually 1 or -1
enabled	TRUE/FALSE
...	any other passthru parameters
min	minimum value
max	maximum value

Details

If target is set, we'll try to meet the metric

If target is NULL and min and max are specified, then do the following:

If max is violated to the upside, penalize the metric. If min is violated to the downside, penalize the metric. The purpose of this objective is to try to meet the range between min and max

Value

object of class 'minmax_objective'

Author(s)

Ross Bennett

braverock/PortfolioAnalytics documentation built on Nov. 24, 2022, 2:38 p.m.