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maxret_opt

Maximum Return LP Optimization

Description

This function is called by optimize.portfolio to solve maximum return

Usage

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

Arguments

R

xts object of asset returns
moments

object of moments computed based on objective functions
constraints

object of constraints in the portfolio object extracted with get_constraints
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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