return_objective: constructor for class return_objective

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

constructor for class return_objective

Description

if target is null, we'll try to maximize the return metric

Usage

return_objective(
  name,
  target = NULL,
  arguments = NULL,
  multiplier = -1,
  enabled = TRUE,
  ...
)

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

Details

if target is set, we'll try to meet or exceed the metric, penalizing a shortfall

Value

object of class 'return_objective'

Author(s)

Brian G. Peterson

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.