PortfolioAnalytics: quadratic_utility_objective – R documentation

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quadratic_utility_objective

constructor for quadratic utility objective

Description

This function calls return_objective and portfolio_risk_objective to create a list of the objectives to be added to the portfolio.

Usage

quadratic_utility_objective(risk_aversion = 1, target = NULL,
  enabled = TRUE)

Arguments

`risk_aversion`	risk_aversion (i.e. lambda) parameter to penalize variance
`target`	target mean return value
`enabled`	TRUE/FALSE, default enabled=TRUE

Value

a list of two elements

return_objective
portfolio_risk_objective

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