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etl_milp_opt

Minimum ETL MILP Optimization

Description

This function is called by optimize.portfolio to solve minimum ETL problems via mixed integer linear programming.

Usage

etl_milp_opt(R, constraints, moments, target, alpha, solver = "glpk",
  control = NULL)

Arguments

R

xts object of asset returns
constraints

object of constraints in the portfolio object extracted with get_constraints
moments

object of moments computed based on objective functions
target

target return value
alpha

alpha value for ETL/ES/CVaR
solver

solver to use
control

list of solver control parameters

Author(s)

Ross Bennett

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

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