utility_fun | R Documentation |
Utility function.
utility_fun(type = "absolute", mu, Sigma, lambda, w_bench = NULL,
min_var = FALSE, same_assets_bench = TRUE)
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. |
Objective function.
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