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maxret_milp_opt

Maximum Return MILP Optimization

Description

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

Usage

maxret_milp_opt(R, constraints, moments, target, 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
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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