gmv_opt_toc

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 turnover 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_toc 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 Turnover Constraint — gmv_opt_toc

<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_toc: GMV/QU QP Optimization with Turnover Constraint

Description

Usage

Arguments

Author