TurnoverOpt_doug: Specify turnover constraints using a version derived by Doug...

In kecoli/PCRM: Companion to Portfolio Construction and Risk Management

Specify turnover constraints using a version derived by Doug Martin

Description

Specify turnover constraints using a version derived by Doug Martin

Usage

TurnoverOpt_doug(
  returns,
  mu.target = NULL,
  wts.initial,
  toc,
  long.only = TRUE,
  printDandA = FALSE
)

Arguments

returns,	stock returns in xts format.
mu.target,	default is NULL, specify the target mean return
toc,	the turnover cost
long.only,	default is TRUE, specify if long only constraint is required
printDandA,	default is FALSE, specify if print the D and A matrix
wts.inital,	the initial weight

Details

use table.Performance.pool to check available metrics. recoded SharpeRatio

Author(s)

Doug Martin, Kirk Li [e-mail]

kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.