risk_budget_objective: constructor for class risk_budget_objective

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

constructor for class risk_budget_objective

Description

constructor for class risk_budget_objective

Usage

risk_budget_objective(
  assets,
  name,
  target = NULL,
  arguments = NULL,
  multiplier = 1,
  enabled = TRUE,
  ...,
  min_prisk,
  max_prisk,
  min_concentration = FALSE,
  min_difference = FALSE
)

Arguments

assets	vector of assets to use, should come from constraints object
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_prisk	minimum percentage contribution to risk
max_prisk	maximum percentage contribution to risk
min_concentration	TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL
min_difference	TRUE/FALSE whether to minimize difference between concentration, default FALSE

Value

object of class 'risk_budget_objective'

Author(s)

Brian G. Peterson

braverock/PortfolioAnalytics documentation built on June 11, 2025, 3:40 a.m.