utility_fun_de: Objective function

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Objective function

Description

Utility function.

Usage

utility_fun_de(type = "absolute", mu, Sigma, lambda, risk_fun = NULL,
  w_bench = NULL, lb = rep(0, length(mu)), ub = rep(1, length(mu)),
  lb_act = rep(0, length(mu)), ub_act = rep(1, length(mu)),
  min_var = FALSE, risk_obj = Inf, f_const = rep(1, length(mu)),
  f_const_lb = 0, f_const_ub = Inf, same_assets_bench = TRUE,
  Sigma_bench = NULL, dd_obj = Inf, series = NULL,
  dd_pers_end_ind = NULL, dd_pers_matrix = NULL, dd_quant = 0.9)

Arguments

type	Type of objective function. absolute or relative.
mu	Expected return
Sigma	covariance matrix
lambda	risk aversion coefficient
risk_fun	Risk as a function of w.
w_bench	Benchmark weigths
lb	Lower bound per asset
ub	Upper bound per asset
lb_act	Lower bound active weight per asset
ub_act	Upper bound active weight per asset
min_var	Min-Var portfolio indicator
risk_obj	Risk objective. Default: Inf
f_const	Matrix of factor constraints. Each entry is 0 or 1. Dimesion is NxM where N is the number of constraints and M is the number of assets.
f_const_lb	Vector of lower bounds of each constraint.
f_const_ub	Vector of upper bounds of each constraint.
same_assets_bench	Indicator function. If the portfolio and the benchmark assets are the same TRUE, otherwise FALSE.
Sigma_bench	covariance matrix of benchmark asset. Only takes values when the benchmark assets are different from portfolio assets.
dd_obj	Drawdown objective. Default: Inf
series	Assets prices series. Requiered to estimate drawdown.
dd_pers_end_ind	Drawdown periods endpoint index..
dd_pers_matrix	Drawdown periods matrix.
dd_quant	Quantile for max drawdown.

Value

Objective function. If type == 'absolute', portfolio risk is controlled by the risk function. If type == 'relative' risk measure can only be volatility.

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