calc_penalties: Calculate penalties Calculates the penalties used in...

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

Calculate penalties Calculates the penalties used in objective functions If wts.bench is present, then the penalty will include evaluation of risk relative to the risk of the benchmark and tracking error. If risk.budget is a parameter then the penalty will include evaluation of risk over the value of risk budget. If curx is a parameter then the penalty will include evaluation of turnover.

Usage

calc_penalties(...)

Arguments

...	These parameters must include x - wts; cma.ta, cma, OptimizationParameters, verbose.

Value

if verbose, a vector of penalties including the total, otherwise just the scalar total.

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