optimize.target.return: Find the portfolio with the minimum standard deviation given...
In rexmacey/TaxAwareAA: Tax Aware Asset Allocation
Description
Usage
Arguments
Value
See Also
View source: R/efficient.frontier.r
Description
This function is used to create an efficient frontier which iterates across a
set of target returns. Requires quadprog
Usage
1
optimize.target.return(target.ret, cma.ta, tol = 4e-05)
Arguments
target.ret
The target return. Should be a feasible return.
cma.ta
Tax-aware capital market assumptions
tol
Tolerance for constraints.
Value
The optimum produced by solve.QP from quadprog. The solution value is the set of weights.
See Also
rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.
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Description Usage Arguments Value See Also
View source: R/efficient.frontier.r
Description
This function is used to create an efficient frontier which iterates across a set of target returns. Requires quadprog
Usage
1 | optimize.target.return(target.ret, cma.ta, tol = 4e-05)
|
Arguments
target.ret |
The target return. Should be a feasible return. |
cma.ta |
Tax-aware capital market assumptions |
tol |
Tolerance for constraints. |
Value
The optimum produced by solve.QP from quadprog. The solution value is the set of weights.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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