PortfolioAnalytics: turnover – R documentation

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turnover

Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with add.objective

Description

Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with add.objective

Usage

turnover(weights, wts.init = NULL)

Arguments

`weights`	vector of weights from optimization
`wts.init`	vector of initial weights used to calculate turnover from

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