quadratic_utility_objective: constructor for quadratic utility objective
In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
quadratic_utility_objective R Documentation
constructor for quadratic utility objective
Description
This function calls return_objective and portfolio_risk_objective
to create a list of the objectives to be added to the portfolio.
Usage
quadratic_utility_objective(risk_aversion = 1, target = NULL, enabled = TRUE)
Arguments
risk_aversion
risk_aversion (i.e. lambda) parameter to penalize variance
target
target mean return value
enabled
TRUE/FALSE, default enabled=TRUE
Value
a list of two elements
return_objective
portfolio_risk_objective
Author(s)
Ross Bennett
braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.
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| quadratic_utility_objective | R Documentation |
constructor for quadratic utility objective
Description
This function calls return_objective and portfolio_risk_objective
to create a list of the objectives to be added to the portfolio.
Usage
quadratic_utility_objective(risk_aversion = 1, target = NULL, enabled = TRUE)
Arguments
risk_aversion |
risk_aversion (i.e. lambda) parameter to penalize variance |
target |
target mean return value |
enabled |
TRUE/FALSE, default enabled=TRUE |
Value
a list of two elements
return_objectiveportfolio_risk_objective
Author(s)
Ross Bennett
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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