aa_objective_rel_risk: Asset Allocation objective function - benchmark sensitive

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

An asset allocation objective function calculating a weighted (w*aftertax + (1-w)*pretax) excess return less penalties some of which are related to a benchmark (risk less than benchmark, tracking error). Penalties applied to: Non-zero weights below a threshold; 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_rel_risk(x, cma.ta, cma, wts.bench.ta, wts.bench,
  OptimizationParameters, ClassGroupConstraints, pctassets, curx = NULL,
  verbose = FALSE)

Arguments

x	vector of initial weights at which objective is calculated. Sum of
cma.ta	tax-aware cma
cma	cma
wts.bench.ta	weights of benchmark using cma.ta classes
wts.bench	weights of benchmark using cma classes
OptimizationParameters	optimization parameters
ClassGroupConstraints	class group contraints
pctassets	a vector with 3 named elements, taxed.pct, deferred.pct, exempt.pct representing the percentage in each type of account
curx	vector of current weights used to calculate turnover
verbose	FALSE (default) indicates only the objective value is returned; TRUE also returns penalties and wtd excess return

Value

list - wtdexcessreturn: weighted excess 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(x, cma.ta, cma, wts.bench.ta, wts.bench, OptimizationParameters, ClassGroupConstraints, pctassets, curx=NULL)

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