optim_portfolio_resamp: Optimal portfolio.

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Optimal portfolio.

Description

Optimal Portfolio. Assuming returns

Usage

optim_portfolio_resamp(mu, Sigma, lb, ub, w_ini, lambda = 1, N = 200,
  M = 1000, plot_ef = FALSE, spar = 0, ineqfun = NULL, ineqLB = NULL,
  ineqUB = NULL, method = "GD", n.restarts = 10, n.sim = 20000,
  conf_int = 0.9)

Arguments

mu	Vector of mean returns.
Sigma	Covariance matrix.
lb	Lower bound.
ub	Upper bound.
lambda	Risk aversion coefficient.
N	Number of observations.
M	Number of portfolios.
plot_ef	Indicator to plot efficient frontier.
spar	Smoothing parameter
method	Default: GD
n.restarts	Number of solver restarts.
n.sim	Random parameters for every restart of the solver.

Value

Optimal weights, mean resampled optimal weights, matrix of sampled weights.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.