R/zzz.R

In ROML.portfolio: ROML-Portfolio-Optimization

.onLoad <- function( libname, pkgname ) {
    ## Data update
	ROML_register_objective_data_update_function("markowitz", markowitz_update_data)
	ROML_register_objective_data_update_function("reward", reward_update_data)
	ROML_register_objective_data_update_function("cvar", cvar_update_data)
	ROML_register_objective_data_update_function("mad", mad_update_data)
	ROML_register_objective_data_update_function("downside_mad", downside_mad_update_data)
	ROML_register_objective_data_update_function("downside_var", downside_var_update_data)
	ROML_register_objective_data_update_function("minimax_young", minimax_young_update_data)
	ROML_register_objective_data_update_function("quadratic_utility", quadratic_utility_update_data)
	ROML_register_objective_data_update_function("sharpe", sharpe_update_data)
	ROML_register_objective_data_update_function("omega", omega_update_data)
	## ROML_register_objective_data_update_function("VaR", value_at_risk_update_data)
    
    ## Objectives
	ROML_register_objective_function("markowitz", markowitz_objective)
	ROML_register_objective_function("reward", reward_objective)
	ROML_register_objective_function("cvar", cvar_objective)
	ROML_register_objective_function("mad", mad_objective)
	ROML_register_objective_function("downside_mad", downside_mad_objective)
	ROML_register_objective_function("downside_var", downside_var_objective)
    ROML_register_objective_function("minimax_young", minimax_young_objective)
    ROML_register_objective_function("quadratic_utility", quadratic_utility_objective)
    ROML_register_objective_function("sharpe", sharpe_objective)
    ROML_register_objective_function("omega", omega_objective)
    # ROML_register_objective_function("loss", loss)
    # ROML_register_objective_function("VaR", value_at_risk_objective)
    
    ## Constraints
	ROML_register_constraint_function("reward", reward_constraint)
	ROML_register_constraint_function("budget", sum_constraint)
	ROML_register_constraint_function("budget_norm", sum_1_constraint_fixed)
    ROML_register_constraint_function("markowitz", markowitz_constraint)
	ROML_register_constraint_function("cardinality", cardinality_constraint)
	ROML_register_constraint_function("cvar", cvar_constraint)
	# ROML_register_constraint_function("VaR", value_at_risk_constraint )
	ROML_register_constraint_function("turnover", turnover_constraint )

    ## Objective value transformation
	## ROML_register_objective_obj_val_transf("markowitz", markowitz_obj_val_transf)
	## ROML_register_objective_obj_val_transf("reward", reward_update_data)
	## ROML_register_objective_obj_val_transf("cvar", cvar_update_data)
	## ROML_register_objective_obj_val_transf("MAD", MAD_update_data)
	## ROML_register_objective_obj_val_transf("downside_MAD", downside_MAD_obj_val_transf)
	## ROML_register_objective_obj_val_transf("downside_sd", downside_sd_obj_val_transf)
	## ROML_register_objective_obj_val_transf("minimax_young", minimax_young_obj_val_transf)
	## ROML_register_objective_obj_val_transf("quadratic_utility", quadratic_utility_obj_val_transf)
	## ROML_register_objective_obj_val_transf("sharpe", sharpe_obj_val_transf)
	## ROML_register_objective_obj_val_transf("omega", omega_obj_val_transf)
}