Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!
Get Started for Free

constraint_ROI

constructor for class constraint_ROI

Description

constructor for class constraint_ROI

Usage

constraint_ROI(assets = NULL, op.problem, solver = c("glpk", "quadprog"),
  weight_seq = NULL)

Arguments

assets

number of assets, or optionally a named vector of assets specifying seed weights
op.problem

an object of type "OP" (optimization problem, of ROI) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.
solver

string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for glpk and quadprog.
weight_seq

seed sequence of weights, see generatesequence

Author(s)

Hezky Varon

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Initial release
2018-05-17

We don't support your browser anymore

Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.