Description Usage Arguments Value See Also Examples
View source: R/optbypairwiseiter.r
An asset allocation objective function calculating -100 times pretax risk less penalties. The -100 factor is to turn a minimization problem into a maximization one. 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_min_risk(x, cma.ta, cma, OptimizationParameters,
verbose = FALSE)
|
x |
vector of initial weights at which objective is calculated |
cma.ta |
tax-aware cma |
cma |
cma |
OptimizationParameters |
optimization parameters |
verbose |
FALSE (default) indicates only the objective value is returned; TRUE also returns penalties and other information |
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_min_risk(x, cma.ta, cma, OptimizationParameters)
|
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