PortfolioAnalytics: gmv_opt_leverage – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

gmv_opt_leverage

GMV/QU QP Optimization with Turnover Constraint

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with a leverage constraint

Usage

gmv_opt_leverage(R, constraints, moments, lambda, target, solver = "quadprog",
  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
`lambda`	risk_aversion parameter
`target`	target return value
`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