PortfolioAnalytics: gmv_opt_ptc – R documentation

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gmv_opt_ptc

GMV/QU QP Optimization with Proportional Transaction Cost Constraint

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with proportional transaction cost constraint

Usage

gmv_opt_ptc(R, constraints, moments, lambda, target, init_weights,
  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
`init_weights`	initial weights to compute turnover
`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