Description Usage Arguments Value See Also Examples
View source: R/optbypairwiseiter.r
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.
1 2 | aa_objective_abs_risk(x, cma.ta, cma, risk.budget, OptimizationParameters,
verbose = FALSE)
|
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. |
list - wtdreturn: weighted return (after-tax, pre-tax), penalties: value of penalties, objectivevalue: objective value
[create.optimization.parameters()] for creating relevant optimization parameters
1 | aa_objective_abs_risk(x, cma.ta, cma, risk.budget, OptimizationParameters)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.