quadratic_utility_objective

risk_aversion (i.e. lambda) parameter to penalize variance

risk_aversion

target

enabled

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

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

quadratic_utility_objective function

<dl><dt>risk_aversion</dt>
<dd>risk_aversion (i.e. lambda) parameter to penalize variance</dd>
<dt>target</dt>
<dd>target mean return value</dd>
<dt>enabled</dt>
<dd>TRUE/FALSE, default enabled=TRUE</dd></dl>

Arguments

Author

constructor for quadratic utility objective — quadratic_utility_objective

<dl>

<dt>risk_aversion</dt>
<dd>risk_aversion (i.e. lambda) parameter to penalize variance</dd>


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


<dt>enabled</dt>
<dd>TRUE/FALSE, default enabled=TRUE</dd>

</dl>

quadratic_utility_objective: constructor for quadratic utility objective

Description

Usage

Value

Arguments

Author