set.portfolio.moments_v1: set portfolio moments for use by lower level optimization...

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

set portfolio moments for use by lower level optimization functions

Description

set portfolio moments for use by lower level optimization functions

Usage

set.portfolio.moments_v1(R, constraints, momentargs = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
constraints	an object of type "constraints" specifying the constraints for the optimization, see constraint
momentargs	list containing arguments to be passed down to lower level functions, default NULL
...	any other passthru parameters FIXME NOTE: this isn't perfect as it overwrites the moments for all objectives, not just one with clean='boudt'

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