gmv_opt_ptc

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

constraints

object of moments computed based on objective functions

moments

lambda

target

initial weights to compute turnover

init_weights

solver

control

This function is called by optimize.portfolio to solve minimum variance or 
maximum quadratic utility problems with proportional transaction cost constraint

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

gmv_opt_ptc 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>lambda</dt>
<dd>risk_aversion parameter</dd>
<dt>target</dt>
<dd>target return value</dd>
<dt>init_weights</dt>
<dd>initial weights to compute turnover</dd>
<dt>solver</dt>
<dd>solver to use</dd>
<dt>control</dt>
<dd>list of solver control parameters</dd></dl>

Arguments

Author

GMV/QU QP Optimization with Proportional Transaction Cost Constraint — gmv_opt_ptc

<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>lambda</dt>
<dd>risk_aversion parameter</dd>


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


<dt>init_weights</dt>
<dd>initial weights to compute turnover</dd>


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


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

</dl>

gmv_opt_ptc: GMV/QU QP Optimization with Proportional Transaction Cost Constraint

Description

Usage

Arguments

Author