aa_objective_abs_risk: Asset Allocation objective function - benchmark insensitive

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

An asset allocation objective function calculating a weighted (w*aftertax + (1-w)*pretax) return less penalties. Penalties applied to: Non-zero weights below a threshold; risk above a risk.budget threshold; weights outside of box limits; tracking error above a threshold, the number of classes with non-zero weights below a minimum or above a maximum, and turnover above a threshold if the curx is supplied.

Usage

aa_objective_abs_risk(x, cma.ta, cma, risk.budget, OptimizationParameters,
  verbose = FALSE)

Arguments

x	vector of initial weights at which objective is calculated
cma.ta	tax-aware cma
cma	cma
risk.budget	constraint on pre-tax risk (really a penalty)
OptimizationParameters	optimization parameters
verbose	FALSE (default) indicates only the objective value is returned; TRUE also returns penalties and other values
pctassets	vector with weights of taxed.pct, deferred.pct, exempt.pct.

Value

list - wtdreturn: weighted return (after-tax, pre-tax), penalties: value of penalties, objectivevalue: objective value

See Also

[create.optimization.parameters()] for creating relevant optimization parameters

Examples

aa_objective_abs_risk(x, cma.ta, cma, risk.budget, OptimizationParameters)

rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.