etl_milp_opt

object of constraints in the portfolio object extracted with <code>get_constraints</code>

constraints

object of moments computed based on objective functions

moments

target

alpha

solver

control

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

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

etl_milp_opt function

<dl><dt>R</dt>
<dd>xts object of asset returns</dd>
<dt>constraints</dt>
<dd>object of constraints in the portfolio object extracted with <code>get_constraints</code></dd>
<dt>moments</dt>
<dd>object of moments computed based on objective functions</dd>
<dt>target</dt>
<dd>target return value</dd>
<dt>alpha</dt>
<dd>alpha value for ETL/ES/CVaR</dd>
<dt>solver</dt>
<dd>solver to use</dd>
<dt>control</dt>
<dd>list of solver control parameters</dd></dl>

Arguments

Author

Minimum ETL MILP Optimization — etl_milp_opt

<dl>

<dt>R</dt>
<dd>xts object of asset returns</dd>


<dt>constraints</dt>
<dd>object of constraints in the portfolio object extracted with <code>get_constraints</code></dd>


<dt>moments</dt>
<dd>object of moments computed based on objective functions</dd>


<dt>target</dt>
<dd>target return value</dd>


<dt>alpha</dt>
<dd>alpha value for ETL/ES/CVaR</dd>


<dt>solver</dt>
<dd>solver to use</dd>


<dt>control</dt>
<dd>list of solver control parameters</dd>

</dl>

etl_milp_opt: Minimum ETL MILP Optimization

Description

Usage

Arguments

Author