utility_fun: Objective function
In veldanie/SuraInvestmentAnalytics: Investment Analytics
utility_fun R Documentation
Objective function
Description
Utility function.
Usage
utility_fun(type = "absolute", mu, Sigma, lambda, w_bench = NULL,
min_var = FALSE, same_assets_bench = TRUE)
Arguments
type
of objective function. absolute or relative.
mu
Expected return
Sigma
covariance matrix
lambda
risk aversion coefficient
w_bench
Benchmark weigths
min_var
Indicator Min-Var portfolio
same_assets_bench
Indicator function. If the portfolio and the benchmark assets are the same TRUE, otherwise FALSE.
Value
Objective function.
veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.
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| utility_fun | R Documentation |
Objective function
Description
Utility function.
Usage
utility_fun(type = "absolute", mu, Sigma, lambda, w_bench = NULL,
min_var = FALSE, same_assets_bench = TRUE)
Arguments
type |
of objective function. absolute or relative. |
mu |
Expected return |
Sigma |
covariance matrix |
lambda |
risk aversion coefficient |
w_bench |
Benchmark weigths |
min_var |
Indicator Min-Var portfolio |
same_assets_bench |
Indicator function. If the portfolio and the benchmark assets are the same TRUE, otherwise FALSE. |
Value
Objective function.
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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